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

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<title>Mixed bond and equity fund model for the valuation of variable annuities</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20180010583">
<namePart>Godin, Fréderic</namePart>
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<namePart>Hamel, Emmanuel</namePart>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2021</dateIssued>
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<abstract displayLabel="Summary">Variable 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.</abstract>
<note type="statement of responsibility">Maciej Augustyniak, Frédéric Godin, Emmanuel Hamel</note>
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<topic>Fondos de inversión</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20200019183">
<topic>Anualidad variable</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080556235">
<topic>Renta fija</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570422">
<topic>Renta variable</topic>
</subject>
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<topic>Rentabilidad</topic>
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<topic>Tipos de interés</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>
<identifier type="local">MAP20077000420</identifier>
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<text>01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 132-159</text>
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