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
2012-01-01
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.Pubblicazioni consigliate
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