Narrow search
Showing 1 - 10 of 743
Cover Image
Valuation perspectives and decompositions for variable annuities with GMWB riders
Hyndman, Cody B.; Wenger, Menachem - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 283-290
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return …. GMWB riders represent an embedded option on the account value with a fee structure that is different from typical financial … derivatives. We consider fair pricing of the GMWB rider from a financial economic perspective. Particular focus is placed on the …
Persistent link: https://www.econbiz.de/10010753213
Cover Image
How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter
Tower, Ian; Impavido, Gregorio - International Monetary Fund (IMF) - 2009
This paper discusses the key sources of vulnerabilities for pension plans and insurance companies in light of the global financial crisis of 2008. It also discusses how these institutional investors transit shocks to the rest of the financial sector and economy. The crisis has re-ignited the...
Persistent link: https://www.econbiz.de/10008528682
Cover Image
Die Separierung von Kompakttarifen in der Pensions- und Lebensversicherung
Dreher, Loïc - In: German Risk and Insurance Review (GRIR) 6 (2010) 1, pp. 1-33
Kompakttarife finden nicht nur in der Pensionsversicherung, sondern auch in der (Einzel-) Lebensversicherung Verwendung … Besonderheiten bei der Lebensversicherung und wichtige Aspekte der Bilanzierung vorgestellt. Den Abschluss bildet ein Algorithmus zur …
Persistent link: https://www.econbiz.de/10010984678
Cover Image
Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
Gao, Jin; Ulm, Eric R. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 87-98
Because human capital is often the largest asset an investor possesses when he is young, protecting human capital from potential risks should be considered as a part of overall investment advice. The risk of the loss of the policyholder’s human capital–the mortality risk–to the household...
Persistent link: https://www.econbiz.de/10011263851
Cover Image
SURRENDER EFFECTS ON POLICY RESERVES: A SIMULATION ANALYSIS OF INVESTMENT GUARANTEE CONTRACTS
Chang, Matthew C.; Jiang, Shi-jie - In: Global Journal of Business Research 4 (2010) 4, pp. 11-21
The assumption of dynamic lapse behavior is path-dependence related to the performance of underlying assets. This causes the pricing and reserving of investment guarantee products to be more difficult to deal with. The lack of actual experience of such policyholders’ behavior is also an...
Persistent link: https://www.econbiz.de/10011205836
Cover Image
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
Fung, Man Chung; Ignatieva, Katja; Sherris, Michael - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 103-115
Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study of...
Persistent link: https://www.econbiz.de/10010930893
Cover Image
WITHDRAWAL STRATEGY FOR GUARANTEED LIFELONG WITHDRAWAL BENEFIT OPTION
PISCOPO, GABRIELLA - In: Perspectives of Innovation in Economics and Business (PIEB) 5 (2010) 2, pp. 47-49
In this paper we present a price model for the Guaranteed Lifelong Withdrawal Benefit, an option embedded in Variable Annuity policies, which gives the insured the possibility to withdraw from a fund a guaranteed amount annually, even if the account value has fallen below this amount. We...
Persistent link: https://www.econbiz.de/10009646140
Cover Image
Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits
Gao, Jin; Ulm, Eric R. - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 586-598
We determine the optimal allocation of funds between the fixed and variable subaccounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. The Merton method is applied by assuming that individuals allocate...
Persistent link: https://www.econbiz.de/10010594528
Cover Image
Application of data clustering and machine learning in variable annuity valuation
Gan, Guojun - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 795-801
The valuation of variable annuity guarantees has been studied extensively in the past four decades. However, almost all the studies focus on the valuation of guarantees embedded in a single variable annuity contract. How to efficiently price the guarantees for a large portfolio of variable...
Persistent link: https://www.econbiz.de/10010719100
Cover Image
Republic of Poland; Financial Sector Assessment Program-Technical Note-Competition and Performance in the Polish Second Pillar
International Monetary Fund (IMF); International … - 2007
This technical note for the Republic of Poland on competition and performance explains the Polish pension system and domestic capital market. Competition policies may need to be reviewed, in particular the combination of measures to maintain small pension funds operating while imposing strict...
Persistent link: https://www.econbiz.de/10011243156