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Journal articles on the topic 'Variable annuities'

Author: Grafiati

Published: 4 June 2021

Last updated: 28 July 2024

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1

Ledlie, M. C., D. P. Corry, G. S. Finkelstein, A. J. Ritchie, K. Su, and D. C. E. Wilson. "Variable Annuities." British Actuarial Journal 14, no. 2 (July 1, 2008): 327–89. http://dx.doi.org/10.1017/s1357321700001744.

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ABSTRACTThis paper provides a detailed overview of variable annuities. Consideration is given first to the definition of the term variable annuity. Common terminology used in the variable annuity market is introduced. The current state of the United Kingdom and other international markets is described. Then, by reference to a simplified product, an analysis of customer outcomes, pricing, reserving, risk management and hedging is carried out. The paper ends with a description of current U.K. pensions legislation and how it potentially constrains product development.

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2

Weale, Martin, and Justin van de Ven. "Variable annuities and aggregate mortality risk." National Institute Economic Review 237 (August 2016): R55—R61. http://dx.doi.org/10.1177/002795011623700117.

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This paper explores the extent to which annuitants might be prepared to pay for protection against cohort-specific mortality risk, by comparing traditional indexed annuities with annuities whose payout rates are revised in response to differences between expected and actual mortality rates of the cohort in question. It finds that a man aged 65 with a coefficient of relative risk aversion of two would be prepared to pay 75p per £100 annuitised for protection against aggregate mortality risk while a man with risk aversion of twenty would be prepared to pay £5.75 per £100; studies put the actual cost at £2.70–£7 per £100, suggesting that unless annuitants are very risk averse it is likely that existing products tend to over-insure against cohort mortality risk.

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3

HORNEFF, WOLFRAM J., RAIMOND H. MAURER, OLIVIA S. MITCHELL, and MICHAEL Z. STAMOS. "Variable payout annuities and dynamic portfolio choice in retirement." Journal of Pension Economics and Finance 9, no. 2 (January 27, 2009): 163–83. http://dx.doi.org/10.1017/s1474747208003880.

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AbstractMany retirees hope to continue earning capital market rewards on their saving while avoiding outliving their funds during retirement. We model a dynamic utility maximizing investor who seeks to benefit from holding both equity and longevity insurance. She is free to adjust her portfolio allocation of her financial wealth as well as of the annuity over time, and she can purchase variable payout annuities any time and incrementally. In this setting, we show that the retiree will not fully annuitize even without bequests; rather, she will combine variable annuities with withdrawals from her liquid financial wealth so as to match her desired consumption profile. Optimal stock exposures decrease over time, both within the variable annuity and the withdrawal plan. Welfare gains from this strategy can amount to 40% of financial wealth, depending on risk parameters and other resources; additionally, many retirees will do almost as well as the fully optimized outcome if they hold variable annuities invested 60/40 in stocks/bonds.

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4

Wagner, Wolf. "Variable Annuities and Systemic Risk." Annales des Mines - Réalités industrielles Févrir2020, no. 1 (2020): 62. http://dx.doi.org/10.3917/rindu1.201.0062.

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5

Brown, Jeffrey R., and James M. Poterba. "Household Ownership of Variable Annuities." Tax Policy and the Economy 20 (January 2006): 163–91. http://dx.doi.org/10.1086/tpe.20.20061907.

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6

Neininger, Meris. "Variable Annuities nach Schweizer Art." Versicherungsmagazin 56, no. 12 (December 2008): 12. http://dx.doi.org/10.1007/bf03244648.

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7

Milne, Ronald A., and Glenn Vent. "Variable Lifetime Annuities: Can You Live Long Enough To Receive Fair Value?" Journal of Applied Business Research (JABR) 15, no. 2 (August 30, 2011): 49. http://dx.doi.org/10.19030/jabr.v15i2.5678.

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<span>This article presents an analysis of variable lifetime annuities and quantifies the advantages and disadvantages associated with this type of instrument. Given recent long-term rates of return and current low inflation rates, variable annuity contracts provide an effective means of compensating for inflation. An individual only needs to invest a small portion of retirement funds in variable annuities to protest the entire portfolio against the risk of long-term inflation without the risk of having ones entire retirement income based on variable annuities.</span>

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8

Jung Min, Lee, Ju Hyo Chan, and Lee Hangsuck. "Risk Management of Portfolio of Variable Annuities and Equity-indexed Annuities." Korean Insurance Journal 101 (January 31, 2015): 33–66. http://dx.doi.org/10.17342/kij.2015.101.2.

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9

Wang, Gu, and Bin Zou. "Optimal fee structure of variable annuities." Insurance: Mathematics and Economics 101 (November 2021): 587–601. http://dx.doi.org/10.1016/j.insmatheco.2021.10.003.

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10

Moenig, Thorsten, and Nan Zhu. "Lapse-and-Reentry in Variable Annuities." Journal of Risk and Insurance 85, no. 4 (December 6, 2016): 911–38. http://dx.doi.org/10.1111/jori.12171.

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11

Chevalier, Etienne, Thomas Lim, and Ricardo Romo Romero. "Indifference fee rate for variable annuities." Applied Mathematical Finance 23, no. 4 (July 3, 2016): 278–308. http://dx.doi.org/10.1080/1350486x.2016.1243011.

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12

Bacinello, Anna Rita, Pietro Millossovich, Annamaria Olivieri, and Ermanno Pitacco. "Variable annuities: A unifying valuation approach." Insurance: Mathematics and Economics 49, no. 3 (November 2011): 285–97. http://dx.doi.org/10.1016/j.insmatheco.2011.05.003.

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13

Bernard, Carole, and Minsuk Kwak. "Semi-static hedging of variable annuities." Insurance: Mathematics and Economics 67 (March 2016): 173–86. http://dx.doi.org/10.1016/j.insmatheco.2016.01.004.

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14

Moenig, Thorsten. "Variable annuities: Market incompleteness and policyholder behavior." Insurance: Mathematics and Economics 99 (July 2021): 63–78. http://dx.doi.org/10.1016/j.insmatheco.2021.03.007.

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15

Condron, Christopher M. "Variable Annuities and the New Retirement Realities." Geneva Papers on Risk and Insurance - Issues and Practice 33, no. 1 (December 17, 2007): 12–32. http://dx.doi.org/10.1057/palgrave.gpp.2510165.

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16

Dai, Min, Yue Kuen Kwok, and Jianping Zong. "GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES." Mathematical Finance 18, no. 4 (October 2008): 595–611. http://dx.doi.org/10.1111/j.1467-9965.2008.00349.x.

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17

BLANCHET-SCALLIET, CHRISTOPHETTE, ETIENNE CHEVALIER, IDRIS KHARROUBI, and THOMAS LIM. "MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING." International Journal of Theoretical and Applied Finance 18, no. 08 (December 2015): 1550053. http://dx.doi.org/10.1142/s0219024915500533.

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In this paper, we study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts, namely guaranteed minimum death benefits and guaranteed minimum living benefits that allow the insured to withdraw money from the associated account. Here, the price of variable annuities corresponds to a fee, fixed at the beginning of the contract, that is continuously taken from the associated account. We use a utility indifference approach to determine the indifference fee rate. We focus on the worst case for the insurer, assuming that the insured makes the withdrawals that minimize the expected utility of the insurer. To compute this indifference fee rate, we link the utility maximization in the worst case for the insurer to a sequence of maximization and minimization problems that can be computed recursively. This allows to provide an optimal investment strategy for the insurer when the insured follows the worst withdrawal strategy and to compute the indifference fee. We finally explain how to approximate these quantities via the previous results and give numerical illustrations of parameter sensitivity.

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18

Balter, Anne G., and Bas J. M. Werker. "THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES." ASTIN Bulletin 50, no. 1 (October 31, 2019): 131–54. http://dx.doi.org/10.1017/asb.2019.27.

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AbstractIn this paper, we consider the risk–return trade-off for variable annuities in a Black–Scholes setting. Our analysis is based on a novel explicit allocation of initial wealth over the payments at various horizons. We investigate the relationship between the optimal consumption problem and the design of variable annuities by deriving the optimal so-called assumed interest rate for an investor with constant relative risk aversion preferences. We investigate the utility loss due to deviations from this. Finally, we show analytically how habit-formation-type smoothing of financial market shocks over the remaining lifetime leads to smaller year-to-year volatility in pension payouts, but to increases in the longer-term volatility.

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19

Milevsky, Moshe A., and Vladyslav Kyrychenko. "Portfolio Choice with Puts: Evidence from Variable Annuities." Financial Analysts Journal 64, no. 3 (May 2008): 80–95. http://dx.doi.org/10.2469/faj.v64.n3.8.

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20

Kolkiewicz, Adam, and Yan Liu. "Semi-Static Hedging for GMWB in Variable Annuities." North American Actuarial Journal 16, no. 1 (January 2012): 112–40. http://dx.doi.org/10.1080/10920277.2012.10590635.

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21

Gan, Guojun, and Emiliano A. Valdez. "Modeling partial Greeks of variable annuities with dependence." Insurance: Mathematics and Economics 76 (September 2017): 118–34. http://dx.doi.org/10.1016/j.insmatheco.2017.07.006.

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22

Gan, Guojun, and Emiliano A. Valdez. "Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets." Dependence Modeling 5, no. 1 (December 20, 2017): 354–74. http://dx.doi.org/10.1515/demo-2017-0021.

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AbstractMetamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.

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23

Bauer, Daniel, Alexander Kling, and Jochen Russ. "A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities." ASTIN Bulletin 38, no. 02 (November 2008): 621–51. http://dx.doi.org/10.2143/ast.38.2.2033356.

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Variable Annuities with embedded guarantees are very popular in the US market. There exists a great variety of products with both, guaranteed minimum death benefits (GMDB) and guaranteed minimum living benefits (GMLB). Although several approaches for pricing some of the corresponding guarantees have been proposed in the academic literature, there is no general framework in which the existing variety of such guarantees can be priced consistently. The present paper fills this gap by introducing a model, which permits a consistent and extensive analysis of all types of guarantees currently offered within Variable Annuity contracts. Besides a valuation assuming that the policyholder follows a given strategy with respect to surrender and withdrawals, we are able to price the contract under optimal policyholder behavior. Using both, Monte-Carlo methods and a generalization of a finite mesh discretization approach, we find that some guarantees are overpriced, whereas others, e.g. guaranteed annuities within guaranteed minimum income benefits (GMIB), are offered significantly below their risk-neutral value.

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24

Bauer, Daniel, Alexander Kling, and Jochen Russ. "A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities." ASTIN Bulletin 38, no. 2 (November 2008): 621–51. http://dx.doi.org/10.1017/s0515036100015312.

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Variable Annuities with embedded guarantees are very popular in the US market. There exists a great variety of products with both, guaranteed minimum death benefits (GMDB) and guaranteed minimum living benefits (GMLB). Although several approaches for pricing some of the corresponding guarantees have been proposed in the academic literature, there is no general framework in which the existing variety of such guarantees can be priced consistently. The present paper fills this gap by introducing a model, which permits a consistent and extensive analysis of all types of guarantees currently offered within Variable Annuity contracts. Besides a valuation assuming that the policyholder follows a given strategy with respect to surrender and withdrawals, we are able to price the contract under optimal policyholder behavior. Using both, Monte-Carlo methods and a generalization of a finite mesh discretization approach, we find that some guarantees are overpriced, whereas others, e.g. guaranteed annuities within guaranteed minimum income benefits (GMIB), are offered significantly below their risk-neutral value.

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25

Vrdoljak, Nevenka, David Laster, and Anil Suri. "The Role of Variable Annuities in Addressing Retirement Risks." Journal of Retirement 2, no. 2 (October 31, 2014): 55–66. http://dx.doi.org/10.3905/jor.2014.2.2.055.

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26

Wilkie, A. D. "Universal or variable linked life assurances and life annuities." Journal of the Institute of Actuaries 112, no. 2 (September 1985): 221–28. http://dx.doi.org/10.1017/s0020268100042116.

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1. The Universal or Variable Linked Life Assurance policy has been issued by a number of companies in the United States of America and in the United Kingdom, and it is now reasonably familiar in the marketplace. It does not appear to have received much attention in actuarial literature, perhaps because of its simplicity, though a paper has been presented to the Institute of Actuaries Students' Society (Sheraton, 1984). So far as I know the corresponding Variable Linked Life Annuity has not been issued by any office, and some of its features are slightly different from those of the Life Assurance policy.

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27

Choi, Jungmin. "Indifference Pricing of a GLWB Option in Variable Annuities." North American Actuarial Journal 21, no. 2 (April 3, 2017): 281–96. http://dx.doi.org/10.1080/10920277.2017.1283237.

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28

Tiong, Serena. "Pricing inflation-linked variable annuities under stochastic interest rates." Insurance: Mathematics and Economics 52, no. 1 (January 2013): 77–86. http://dx.doi.org/10.1016/j.insmatheco.2012.11.003.

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29

Steinorth, Petra, and Olivia S. Mitchell. "Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits." Insurance: Mathematics and Economics 64 (September 2015): 246–58. http://dx.doi.org/10.1016/j.insmatheco.2015.04.001.

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30

Fergusson, Kevin. "LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC." ASTIN Bulletin 50, no. 2 (April 13, 2020): 381–417. http://dx.doi.org/10.1017/asb.2020.7.

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AbstractVariable annuities are products offered by pension funds and life offices that provide periodic future payments to the investor and often have ancillary benefits that guarantee survival benefits or sums insured on death. This paper extends the benchmark approach to value and hedge long-dated variable annuities using a combination of cash, bonds and equities under a variety of market models, allowing for dependence between financial and insurance markets. Under a simplified case of independence, the results show that when the discounted index is modelled as a time-transformed squared Bessel process, less-expensive valuation and reserving is achieved regardless of the short rate model or the mortality model.

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31

Dong, Bing, Jindong Wang, and Wei Xu. "Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits." Journal of Derivatives 28, no. 2 (April 28, 2020): 59–79. http://dx.doi.org/10.3905/jod.2020.1.109.

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32

이경희. "Characteristics of Variable Annuity Policyholders Within Individual Tax-Deferred Annuities." Journal of Risk Management 29, no. 3 (September 2018): 43–76. http://dx.doi.org/10.21480/tjrm.29.3.201809.002.

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33

Poufinas, Thomas. "On the pricing of regular premium variable annuities using options." International Journal of Financial Markets and Derivatives 4, no. 1 (2015): 54. http://dx.doi.org/10.1504/ijfmd.2015.066448.

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34

Dang, Ou, Mingbin Feng, and Mary R. Hardy. "Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities." North American Actuarial Journal 24, no. 2 (October 18, 2019): 187–210. http://dx.doi.org/10.1080/10920277.2019.1636399.

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35

Cui, Zhenyu, Jinhyoung Kim, Guanghua Lian, and Yanchu Liu. "Risk measures for variable annuities: A hermite series expansion approach." Journal of Management Science and Engineering 4, no. 2 (June 2019): 119–41. http://dx.doi.org/10.1016/j.jmse.2019.05.002.

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36

Hyndman, Cody B., and Menachem Wenger. "Valuation perspectives and decompositions for variable annuities with GMWB riders." Insurance: Mathematics and Economics 55 (March 2014): 283–90. http://dx.doi.org/10.1016/j.insmatheco.2014.02.004.

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37

Delong, Łukasz. "Pricing and hedging of variable annuities with state-dependent fees." Insurance: Mathematics and Economics 58 (September 2014): 24–33. http://dx.doi.org/10.1016/j.insmatheco.2014.06.002.

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38

Lin, X. Sheldon, Panpan Wu, and Xiao Wang. "Move-based hedging of variable annuities: A semi-analytic approach." Insurance: Mathematics and Economics 71 (November 2016): 40–49. http://dx.doi.org/10.1016/j.insmatheco.2016.07.007.

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39

宫, 晶. "Pricing of Variable Annuities with Combined Guaranteed Minimum Withdrawal Benefit." Pure Mathematics 13, no. 04 (2023): 1083–89. http://dx.doi.org/10.12677/pm.2023.134115.

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40

Tang, Junsen. "Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees." Risks 12, no. 1 (December 30, 2023): 7. http://dx.doi.org/10.3390/risks12010007.

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Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different from prior research, we discuss several aspects on a fair valuation, fee-rate determination and hedging with volatility-dependent fees from the perspective of a VA hedger. A method of efficient hedging strategy as a benchmark compared to other strategies is developed in the stochastic volatility setting. We illustrate this method in guaranteed minimum maturity benefits (GMMBs), but it is also applicable to other equity-linked insurance contracts.

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41

Kwon, Yongjae, Myungho Park, and Jeongsun Yun. "Risk Margin Calculation for Lapse Risk in Guaranteed Minimum Accumulation Benefit of Variable Annuities-A Market-Consistent Approach." Journal of Derivatives and Quantitative Studies 22, no. 1 (February 28, 2014): 71–90. http://dx.doi.org/10.1108/jdqs-01-2014-b0004.

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In 2002, variable annuities were introduced in South Korea and have shown enormous success since then. They are life-insurance products with investment guarantees. Variable annuities allow policyholders to allocate premiums into a wide range of investment vehicles such as stocks, bonds, money market instruments, or some combinations of them. Due to the investment guarantee which is called guaranteed living benefits (GLBs), the benefit is always the greater of (1) the account value of the policyholder investment and (2) the guaranteed amount. Life insurance companies set aside reserves for the guarantees in the general account. Just as the account value depends on the performance of investments, VA lapses also rely on the performance of investments. For example, policyholders will not terminate the contracts when account value is way lower than the guaranteed amount. Considering that lapses determine the total benefit of VAs that a insurance company should pay, calculating risk margin for lapse is a key issue in the VA business. In this study, risk margin for VA lapses is estimated with Wang transform suggested by Wang (2000, 2002).

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42

Shen, Zhiyi, and Chengguo Weng. "Pricing bounds and bang-bang analysis of the Polaris variable annuities." Quantitative Finance 20, no. 1 (August 15, 2019): 147–71. http://dx.doi.org/10.1080/14697688.2019.1635709.

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43

Ballotta, Laura, Ernst Eberlein, Thorsten Schmidt, and Raghid Zeineddine. "Variable annuities in a Lévy-based hybrid model with surrender risk." Quantitative Finance 20, no. 5 (November 27, 2019): 867–86. http://dx.doi.org/10.1080/14697688.2019.1687929.

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44

Puretz, Jeffrey S., Anthony H. Zacharski, Alan Rosenblat, and Alison C. Ryan. "SEC approves FINRA rule governing sales practices of deferred variable annuities." Journal of Investment Compliance 9, no. 2 (June 13, 2008): 60–64. http://dx.doi.org/10.1108/15285810810886216.

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45

Cohen, James R., Jeffrey S. Bortnick, and Nancy L. Jacob. "Tax-Efficient Investing Using Private Placement Variable Life Insurance and Annuities." Journal of Wealth Management 2, no. 3 (October 31, 1999): 27–35. http://dx.doi.org/10.3905/jwm.1999.320362.

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46

Ben Zineb, T., and E. Gobet. "Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal." Theory of Probability & Its Applications 61, no. 1 (January 2017): 40–56. http://dx.doi.org/10.1137/s0040585x97t987971.

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47

Trottier, Denis-Alexandre, Frédéric Godin, and Emmanuel Hamel. "LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK." ASTIN Bulletin 48, no. 02 (April 25, 2018): 611–46. http://dx.doi.org/10.1017/asb.2018.7.

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AbstractA method to hedge variable annuities in the presence of basis risk is developed. A regime-switching model is considered for the dynamics of market assets. The approach is based on a local optimization of risk and is therefore very tractable and flexible. The local optimization criterion is itself optimized to minimize capital requirements associated with the variable annuity policy, the latter being quantified by the Conditional Value-at-Risk (CVaR) risk metric. In comparison to benchmarks, our method is successful in simultaneously reducing capital requirements and increasing profitability. Indeed the proposed local hedging scheme benefits from a higher exposure to equity risk and from time diversification of risk to earn excess return and facilitate the accumulation of capital. A robust version of the hedging strategies addressing model risk and parameter uncertainty is also provided.

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48

Dong, Bing, Wei Xu, Aleksandar Sevic, and Zeljko Sevic. "Efficient willow tree method for variable annuities valuation and risk management☆." International Review of Financial Analysis 68 (March 2020): 101429. http://dx.doi.org/10.1016/j.irfa.2019.101429.

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49

Coleman, T. F., Y. Kim, Y. Li, and M. Patron. "Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks." Journal of Risk & Insurance 74, no. 2 (June 2007): 347–76. http://dx.doi.org/10.1111/j.1539-6975.2007.00216.x.

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50

Brown, Jeffrey R., and James M. Poterba. "Household Demand for Variable Annuities." SSRN Electronic Journal, 2004. http://dx.doi.org/10.2139/ssrn.546245.

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