Variable Annuities (VA) package living and death benefits, eventually aiming at constructing a post-retirement income, while offering a number of possible guarantees in respect of financial and mortality/longevity risks. In many circumstances, the policyholder keeps access to her fund, and can in particular cash money beyond the benefits already set. Apart from financial and mortality/longevity risks, the insurer is therefore exposed also to the risk of unexpected decisions of the policyholder. We suggest to adopt a comprehensive approach to these different risk sources, and we describe a unifying valuation framework of the guarantees under quite general assumptions.

Variable annuities as life insurance packages: a unifying approach to the valuation of guarantees

BACINELLO, ANNA RITA;MILLOSSOVICH, PIETRO;PITACCO, ERMANNO
2012

Abstract

Variable Annuities (VA) package living and death benefits, eventually aiming at constructing a post-retirement income, while offering a number of possible guarantees in respect of financial and mortality/longevity risks. In many circumstances, the policyholder keeps access to her fund, and can in particular cash money beyond the benefits already set. Apart from financial and mortality/longevity risks, the insurer is therefore exposed also to the risk of unexpected decisions of the policyholder. We suggest to adopt a comprehensive approach to these different risk sources, and we describe a unifying valuation framework of the guarantees under quite general assumptions.
9789065691118
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11368/2650506
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact