Indifference fee rate for variable annuities
نویسندگان
چکیده
منابع مشابه
Indifference Pricing of Pure Endowments and Life Annuities
We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility and sells k contingent claims to k independent but homogeneous individuals. Throughout we focus on t...
متن کاملPractical Considerations in Managing Variable Annuities
Variable annuities have grown tremendously in recent years, offering life insurers significant growth opportunities. These equity and interest rate structured products offer a broad range of guarantees to the policyholders, and insurers must manage their risks. The insurer’s risk management program must consider modeling and implementation challenges beyond that of the standard capital market a...
متن کاملGuaranteed Minimum Withdrawal Benefit in Variable Annuities
We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set and no penalty is imposed when the policyh...
متن کاملA Full-Fuzzy Rate Controller for Variable Bit Rate Video
In this paper, we propose a new full-fuzzy video ratecontrol algorithm (RCA) for variable bit rate (VBR) videoapplications. The proposed RCA provides high qualitycompressed video with a low degree computational complexity.By controlling the quantization parameter (QP) on a picturebasis, it produces VBR video bit streams. The proposed RCAhas been implemented on the JM H.264/AVC video codec andth...
متن کاملA Note on the Delta-Hedging Strategy for Variable Annuities
For variable annuities, the cost of hedging must be taken into consideration when firms use the dynamic hedging strategy. In this paper, we study hedging strategies by assuming the hedge position follows a random walk with boundary conditions. We find that re-balancing delta to the initial position is always more cost-efficient than re-balancing it to the edge for a fixed transaction cost. Howe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2016
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2016.1243011