منابع مشابه
Guaranteed Annuity Options
Under a guaranteed annuity option, an insurer guarantees to convert a policyholder’s accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the insurer has to make up the difference. Such guarantees are common in many US tax sheltered insurance ...
متن کاملGuaranteed annuity conversion options and their valuation∗
In this chapter, we consider a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain unit-linked pension contracts in the UK. The valuation approach is based on the similarity between the payoff structure of the contract and a call option written on a coupon-bearing bond. The model makes use of a one-factor Heath-Jarrow-Morton framework...
متن کاملOvercoming the Saving Slump: How to Increase the Effectiveness of Financial Education and Saving Programs. Edited by Annamaria Lusardi. University of Chicago Press, 2009, ISBN 978-0-22649-709-9, 406 pages
other factors, such as counterparty risk and inflation risk which come into play. The major factor, however, is likely to be liquidity risk, namely the need of households to come up with, what for them is, a large amount of money over a short period of time in order to deal with health and other emergencies. This is where the annuity options (refundable annuities) that Sheshinski recommends can...
متن کاملConvexity meets replication: hedging of swap derivatives and annuity options
Convexity correction arises when one computes the expected value of an interest rate index under a probability measure other than its own natural martingale measure. As a typical example, the natural martingale measure of the swap rate is the swap measure with annuity as the numeraire. However, the evaluation of the discounted expectation of the payoff in a constant maturity swap (CMS) derivati...
متن کاملActuarial and Financial Valuations of Guaranteed Annuity Options
Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders contribute premiums into a fund managed by the insurer. At retirement, the policyholders buy life annuities at a guaranteed rate provided by the original insurer, or annuitize with another insurer. If the guaranteed annuity rates are better than the prevailing rat...
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ژورنال
عنوان ژورنال: Journal of Public Economic Theory
سال: 2010
ISSN: 1097-3923,1467-9779
DOI: 10.1111/j.1467-9779.2009.01444.x