Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …