The Impact of inflation risk on financial planning and risk-return profiles

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20140020553</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20151005100217.0</controlfield>
    <controlfield tag="008">140603e20140505esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="245" ind1="0" ind2="4">
      <subfield code="a">The Impact of inflation risk on financial planning and risk-return profiles</subfield>
      <subfield code="c">Stefan Graf...[et al.] </subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">The importance of funded private or occupational old-age provision is expected to increase due to demographic changes and the resulting problems for government-run pay-as-you-go systems. Clients and advisors therefore need reliable methodologies to match offered products with clients' needs and risk appetite. In Graf et al. (2012), the authors have introduced a methodology based on stochastic modeling to properly assess the risk-return profiles  i.e. the probability distribution of future benefits  of various old-age provision products. In this paper, we additionally consider the impact of inflation on the risk-return profile of old-age provision products. In a model with stochastic interest rates, stochastic inflation and equity returns including stochastic equity volatility, we derive risk-return-profiles for various types of existing unit-linked products with and without embedded guarantees and especially focus on the difference between nominal and real returns. We find that typical rule of thumb approximations for considering inflation risk are inappropriate and further show that products that are considered particularly safe by practitioners because of nominal guarantees may bear significant inflation risk. Finally, we propose product designs suitable to reduce inflation risk and investigate their risk-return profile in real terms.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">05/05/2014 Volumen 44 Número 2 - mayo 2014 </subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</subfield>
    </datafield>
  </record>
</collection>