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

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<title>Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic</title>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Kevin Fergusson</note>
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<topic>Fondos de pensiones</topic>
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<topic>Mercados financieros</topic>
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<topic>Mercado de seguros</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 381-417</text>
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