The effect of the assumed interest rate and smoothing on variable annuities

DOI10.1017/ASB.2019.27MaRDI QIDQ5213442zbMATH OpenOpenAlexWikidataFDO

Authors Anne G. Balter, Bas J. M. Werker

Publication date 3 February 2020

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/asb.2019.27

zbMATH Keywords

assumed interest ratescertainty equivalent lossconversion riskoptimal consumptionsmoothing financial market shocksvariable annuities

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Variable annuities: market incompleteness and policyholder behavior
• Analytical pricing of variable annuities
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• Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
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Cites work

• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Accounting and actuarial smoothing of retirement payouts in participating life annuities
• Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
• Habits revealed
• Hedging guarantees in variable annuities under both equity and interest rate risks
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Optimal Annuity Risk Management*
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing and solvency of value-maximizing life annuity providers
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• Risk analysis of annuity conversion options in a stochastic mortality environment
• Solving consumption models with multiplicative habits
• State-dependent fees for variable annuity guarantees
• The annuity puzzle remains a puzzle

Cited in

(5)

• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• Utilitarian versus neutralitarian design of endowment fund policies
• Benefit volatility-targeting strategies in lifetime pension pools
• Optimal smooth consumption and its trade-offs

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