Converting Retirement Savings into Income: Annuities and Periodic Withdrawals [PDF]
, 2008 To a worker contemplating retirement, there is perhaps no more important question than “How long will my money last?” Congress has a strong interest in the income security of older Americans because much of their income is either provided directly from ...
Mulvey, Janemarie, Purcell, Patrick
core +3 more sources
Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method [PDF]
Journal of Systemics, Cybernetics and Informatics, 2011 In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM).
Fei Lung Yuen, Hailiang Yang
doaj
How Does Progressivity Affect the Tax Cut Multiplier?
International Economic Review, EarlyView.ABSTRACT How does the targeting of personal income tax cuts affect the output multiplier? This paper provides quantitative evidence using a heterogeneous‐agent New‐Keynesian model calibrated to match US distributions of income, wealth, marginal tax rates, and marginal propensities to consume.
Christian Gillitzer
wiley +1 more source
Variable Annuities: Risk Identification and Risk Assessment [PDF]
, 2010 Life annuities and pension products usually involve a number of ‘guarantees’, such as, e.g., minimum accumulation rates, minimum annual payments and minimum total payout.
Bacinello, A.R. +3 more
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A Conversation With David Bellhouse
International Statistical Review, EarlyView.Summary David Richard Bellhouse was born in Winnipeg, Manitoba, on 19 July 1948. He studied actuarial mathematics and statistics at the University of Manitoba (BA, 1970; MA, 1972) and completed his PhD at the University of Waterloo, Ontario, in 1975. After being an Assistant Professor for 1 year at his alma mater, he joined the University of Western ...
Christian Genest
wiley +1 more source
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit [PDF]
, 2013 In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial mathematics.
Feng, Runhuan, Volkmer, Hans W.
core
Mutual fund director compensation
Journal of Financial Research, EarlyView.Abstract We examine director compensation using a large sample of hand‐compiled U.S. mutual fund data. We find that director compensation is positively correlated with observable productive characteristics—workload, experience, and demographics—that capture the benefits from the directors’ monitoring effort.
John Adams +2 more
wiley +1 more source
Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement [PDF]
We examine incomplete annuity menus and background risk as possible drivers of divergence from full annuitization. Contrary to what is often suggested in the literature, we find that full annuitization remains optimal if saving is possible after ...
Nijman, T.E. +2 more
core +1 more source
The framing of options for retirement: Experimental tests for policy. ESRI WP604, December 2018 [PDF]
, 2018 We hypothesise and confirm a substantial framing effect in relation to whether people opt for an annuity on retirement. Two laboratory experiments were conducted in collaboration with a national pensions regulator.
Lunn, Peter D. +2 more
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Use of Prediction Bias in Active Learning and Its Application to Large Variable Annuity Portfolios
RisksGiven the computational challenges associated with valuing large variable annuity (VA) portfolios, a variety of data mining frameworks, including metamodeling and active learning, have been proposed in recent years.
Hyukjun Gweon, Shu Li, Yangxuan Xu
doaj +1 more source