Variable annuities: A unifying valuation approach

Anna Rita Bacinello, Pietro Millossovich, Annamaria Olivieri and Ermanno Pitacco

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 285-297

Abstract: Life annuities and pension products usually involve a number of guarantees, such as minimum accumulation rates, minimum annual payments or a minimum total payout. Packaging different types of guarantees is the feature of so-called variable annuities. Basically, these products are unit-linked investment policies providing a post-retirement income. The guarantees, commonly referred to as GMxBs (namely, Guaranteed Minimum Benefits of type ‘x’), include minimum benefits both in the case of death and survival. In this paper we propose a unifying framework for the valuation of variable annuities under quite general model assumptions. We compute and compare contract values and fair fee rates under ‘static’ and ‘mixed’ valuation approaches, via ordinary and least squares Monte Carlo methods, respectively.

Keywords: Variable annuities; Post-retirement income; Risk management; Guarantees; Least squares Monte Carlo (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (85)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668711000618
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:285-297

DOI: 10.1016/j.insmatheco.2011.05.003

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().