This article reviews the recent experience of adult survivor annuitants under the Federal civil service retirement program. Data are presented for such persons in terms of their status in December 1975 as primary beneficiaries, secondary beneficiaries, or nonbeneficiaries under the Old-Age, Survivors, and Disability Insurance (OASDI) program. Analysis reveals that 63 percent of the survivor ann...

This research project is dedicated to implement an algorithm for the partial differential equation solution to a risk management problem of the GMWB variable annuity developed in Feng & Vecer [1]. In the first part of the report, we give an introduction of the insurance product and the mathematical dynamics behind it. In the second part of the report, we introduce the finite difference method i...

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...

The Money’s Worth Ratio (MWR) measures an annuity’s actuarial fairness. It is calculated as the discounted present value of the annuity’s expected future payments divided by its cost. We argue that, this measure may overestimate the value‐for‐money obtained by annuitants, since it does not adjust for liquidity or risk factors. Measuring these factors is challenging, requi...

With the shift from defined benefit pensions to 401(k) plans, individuals are increasingly responsible not only for saving for retirement but also for drawing down their assets in retirement. These drawdown decisions require substantial cognitive effort and are very difficult for the average person. Yet most models of asset decumulation ignore the possibility that individuals may differ in thei...

Structured settlement underwriting is the underwriting of medically impaired lives for the purchase of an annuity to fund the settlement. Other than risk assessment, structured settlement (SS) underwriting has little in common with traditional life insurance underwriting. Most noteworthy of these differences is the relative lack of actuarial data on which to base decisions about mortality and t...