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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
MARC record
Tag12Value
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001  MAP20200019060
003  MAP
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008  200604e20200501bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200013372‎$a‎Fergusson, Kevin
24510‎$a‎Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic‎$c‎Kevin Fergusson
520  ‎$a‎Variable 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.
650 4‎$0‎MAPA20080578374‎$a‎Tasas de interés
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080591021‎$a‎Fondos de pensiones
650 4‎$0‎MAPA20080597641‎$a‎Mercados financieros
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080570422‎$a‎Renta variable
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 381-417