Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Fergusson, Kevin </dc:creator>
<dc:date>2020-05-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/171965.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Tasas de interés</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Fondos de pensiones</dc:subject>
<dc:subject xml:lang="es">Mercados financieros</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Renta variable</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
</rdf:Description>
</rdf:RDF>