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A Mixed bond and equity fund model for the valuation of variable annuities

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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008  210218e20210101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎921.9
100  ‎$0‎MAPA20120021259‎$a‎Augustyniak, Maciej
24512‎$a‎A Mixed bond and equity fund model for the valuation of variable annuities‎$c‎Maciej Augustyniak, Frédéric Godin, Emmanuel Hamel
520  ‎$a‎Variable annuity (VA) policies are typically issued on mutual funds invested in both fixed income and equity asset classes. However, due to the lack of specialized models to represent the dynamics of fixed income fund returns, the literature has primarily focused on studying long-term investment guarantees on single-asset equity funds. This article develops a mixed bond and equity fund model in which the fund return is linked to movements of the yield curve. Theoretical motivation for our proposed specification is provided through an analogy with a portfolio of rolling horizon bonds. Moreover, basis risk between the portfolio return and its risk drivers is naturally incorporated into our framework. Numerical results show that the fit of our model to Canadian VA data is adequate. Finally, the valuation of VAs is illustrated and it is found that the prevailing interest rate environment can have a substantial impact on guarantee costs.
650 4‎$0‎MAPA20080591014‎$a‎Fondos de inversión
650 4‎$0‎MAPA20200019183‎$a‎Anualidad variable
650 4‎$0‎MAPA20080556235‎$a‎Renta fija
650 4‎$0‎MAPA20080570422‎$a‎Renta variable
650 4‎$0‎MAPA20080563974‎$a‎Rentabilidad
650 4‎$0‎MAPA20080578527‎$a‎Tipos de interés
7001 ‎$0‎MAPA20180010583‎$a‎Godin, Fréderic
7001 ‎$0‎MAPA20180010590‎$a‎Hamel, Emmanuel
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 132-159