This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...

This paper proposes a fair valuation approach to price variable annuity liabilities and embedded guarantee riders in a dynamic multi-period setting. The focus of the paper is on variable annuity with the Guaranteed Lifetime Withdrawal Benefit(GLWB) rider with exposure to both equity and...