The Effect of the asumed interest rate and smoothing on variable annuities
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200009931 | ||
| 003 | MAP | ||
| 005 | 20200326142036.0 | ||
| 008 | 200326e20200101bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20200006572$aBalter, Anne G. | ||
| 245 | 1 | 4 | $aThe Effect of the asumed interest rate and smoothing on variable annuities$cAnne G. Balter, Bas J. M. Werker |
| 520 | $aIn this paper, we consider the risk-return trade-off for variable annuities in a Black-Scholes setting. Our analysis is based on a novel explicit allocation of initial wealth over the payments at various horizons. We investigate the relationship between the optimal consumption problem and the design of variable annuities by deriving the optimal so-called assumed interest rate for an investor with constant relative risk aversion preferences. We investigate the utility loss due to deviations from this. Finally, we show analytically how habit-formation-type smoothing of financial market shocks over the remaining lifetime leads to smaller year-to-year volatility in pension payouts, but to increases in the longer-term volatility. | ||
| 650 | 4 | $0MAPA20080578374$aTasas de interés | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080597641$aMercados financieros | |
| 700 | $0MAPA20200006572$aBalter, Anne G. | ||
| 700 | 1 | $0MAPA20200006657$aWerker, Bas J. M. | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/01/2020 Volumen 50 Número 1 - enero 2020 , p. 131-154 |