کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076398 1477211 2015 41 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
ترجمه فارسی عنوان
ارزش گذاری سالانه متغیر با مزایای تضمین حداقل مزایای طول عمر
کلمات کلیدی
انحراف، ضمانت، درآمد مادام العمر، مدل چرخه زندگی، تخصیص نمونه کارها، حفاظت طول عمر،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Variable annuities with guaranteed minimum lifetime withdrawal benefits (VA/GLWB) offer retirees longevity protection, exposure to equity markets, and access to flexible withdrawals in emergencies. We model how risk-averse retirees optimally withdraw from the products, balancing returns and the embedded longevity protection. Assuming reasonable individual preferences, the resulting cash flow generates a Money's Worth Ratio of around 0.9 for our stylized VA/GLWB in the post-crisis product, considerably lower than what was offered prior to 2008. Sensitivity analyses with respect to portfolio choice, mortality, fees, and guaranteed withdrawal rates show that MWRs range from 0.80 to 1.0, with the portfolio choice making the biggest difference. For most parameter choices, the utility value of the VA/GLWB exceeds that of a similar mutual fund, but it is less than for a fixed annuity. Interestingly, VA/GLWB withdrawals in early retirement can optimally exceed contract maximum withdrawals, despite the fact that this reduces future withdrawal guarantees.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 64, September 2015, Pages 246-258
نویسندگان
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