Equity-linked pension schemes with guarantees
نویسندگان
چکیده
منابع مشابه
Equity–Linked Pension Schemes with Guarantees
This paper analyses the relationship between the level of a return guarantee in an equity–linked pension scheme and the proportion of an investor’s contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and participation surplus. The evaluation of each scheme involves pricing an Asian option, for which relatively tight ...
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A number of models have been proposed for the equity return process for equity-linked guarantees, following the introduction of stochastic modeling requirements by the Canadian Institute of Actuaries and the American Academy of Actuaries. In this paper we present some of the models that have become well known and discuss the use of residuals to test the fit. After showing that the use of the st...
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We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the secondary markets instead of surrendering the contracts to the insurance company. We formulate the valuation problems from both the insurance company’s ...
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Guarantees are often seen as the key characteristics of pension saving products, but securing them can become costly and is of central relevance especially in the course of the current low interest rate environment. In this article, we deal with the question of how costly the typical types of guarantees are, in the sense that they reduce a pension saving scheme’s financial performance over time...
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The German Retirement Saving Act instituted a new funded system of supplementary pensions coupled with a general reduction in the level of state pay-as-you-go old-age pensions. In order to qualify for tax relief, the providers of supplementary savings products must offer a guarantee of the nominal value at retirement of contributions paid into these saving accounts. This paper explores how this...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2011
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2011.08.012