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Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Recurso electrónico / Electronic resource
MAP20200019060
Fergusson, Kevin ‌
Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic / Kevin Fergusson
Sumario: Variable 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
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 381-417
1. Tasas de interés ‌. 2. Modelo estocástico ‌. 3. Fondos de pensiones ‌. 4. Mercados financieros ‌. 5. Mercado de seguros ‌. 6. Renta variable ‌. I. Title.