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Academic literature on the topic 'Annuities'

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Published: 4 June 2021
Last updated: 30 July 2024

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Journal articles on the topic "Annuities"

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DUSHI, IRENA, and ANTHONY WEBB. "Household annuitization decisions: simulations and empirical analyses." Journal of Pension Economics and Finance 3, no. 2 (July 2004): 109–43. http://dx.doi.org/10.1017/s1474747204001696.

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Annuities provide insurance against outliving one's wealth. Previous studies have indicated that, for many households, the value of the longevity insurance should outweigh the actuarial unfairness of prices in the voluntary annuity market. Nonetheless, voluntary annuitization rates are extremely low.Previous research on the value of annuitization has compared an optimal decumulation of unannuitized wealth with the alternative of annuitizing all unannuitized wealth at age 65. We relax these assumptions, allowing households to annuitize any part of their unannuitized wealth at any age and to return to the annuity market as many times as they wish.Using numerical optimization techniques, assuming the levels of actuarial unfairness of annuities calculated in previous research, and retaining the assumption made in previous research that one half of household wealth is pre-annuitized, we conclude that it is optimal for couples to delay annuitization until they are aged 73–82, and in some cases never to annuitize. It is usually optimal for single men and women to annuitize at substantially younger ages, between 65 and 70. Households that annuitize will generally wish to annuitize only part of their unannuitized wealth.Using data from the Asset and Health Dynamics Among the Oldest Old and Health and Retirement Study panels, we show that much of the failure of the average currently retired household to annuitize can be attributed to the exceptionally high proportions of the wealth of these cohorts that is pre-annuitized. We expect younger cohorts to have smaller proportions of pre-annuitized wealth and project increasing demand for annuitization as successive cohorts age.
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Kling, Alexander, Andreas Richter, and Jochen Ruß. "ANNUITIZATION BEHAVIOR: TAX INCENTIVES VS. PRODUCT DESIGN." ASTIN Bulletin 44, no. 3 (July 17, 2014): 535–58. http://dx.doi.org/10.1017/asb.2014.17.

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AbstractWe analyze and compare the impact of tax incentives and of introducing enhanced annuities on annuitization behavior considering heterogeneity among the insured. We find that tax incentives for annuitization result in a significant increase of the portion of people who should annuitize and also an increase of the insurer's profit since less healthy individuals also annuitize, i.e. adverse selection is reduced. However, the problem that different insured receive a different value for money is even increased by tax incentives. If enhanced annuities are introduced, the percentage of insured who should annuitize further increases. Adverse selection is further reduced and the differences in value for money from annuitizing shrink.
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JAMES, ESTELLE, GUILLERMO MARTINEZ, and AUGUSTO IGLESIAS. "The payout stage in Chile: who annuitizes and why?" Journal of Pension Economics and Finance 5, no. 2 (May 11, 2006): 121–54. http://dx.doi.org/10.1017/s1474747205002404.

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In 1981 Chile adopted its new multi-pillar system, which featured privately managed individual accounts. Starting in 1983 payouts from the accounts were permitted and detailed rules about payouts were put in place. The Chilean scheme therefore gives us an opportunity to examine how pensioners and pension providers react when individual accounts replace DB systems, and how detailed regulations shape these reactions.Retirees in Chile have a choice between early versus normal retirement (before or after age 65M/60W) and between annuitization versus programmed withdrawals; lump sum withdrawals are largely ruled out. Almost two-thirds of all retirees have annuitized – a very high proportion compared with other countries. This paper argues that this high rate of annuitization is the result of guarantees and regulations that constrain payout choices, insure retirees through the minimum pension guarantee, eliminate other DB components, and give a competitive advantage to insurance companies selling annuities. The minimum pension financed by the government provides insurance to workers with small accumulations, who retire at the normal age with programmed withdrawals, while those with large accumulations retire early and must purchase annuities to acquire longevity and investment insurance. Insurance companies further induce annuitization by marketing aggressively, facilitating early retirement for those who annuitize and offering a high money's worth ratio for price-indexed annuities. We find evidence of adverse selection based on asymmetric information about short-run health status, but this does not seem to deter the high rate of annuitization.
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Cannon, Edmund, Ian Tonks, and Rob Yuille. "The effect of the reforms to compulsion on annuity demand." National Institute Economic Review 237 (August 2016): R47—R54. http://dx.doi.org/10.1177/002795011623700116.

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This paper investigates the effect of recent regulatory changes to the compulsory annuitisation of tax-privileged pension savings, on the demand for annuities and other retirement products. We find that the demand for annuities has fallen by almost 75 per cent from its peak in 2012, and the demand for income drawdown products has increased. There is some evidence that people at younger ages and with smaller pension pots are choosing not to annuitise, and hence the average size of an annuity purchase has increased.
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Reichling, Felix, and Kent Smetters. "Optimal Annuitization with Stochastic Mortality and Correlated Medical Costs." American Economic Review 105, no. 11 (November 1, 2015): 3273–320. http://dx.doi.org/10.1257/aer.20131584.

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The conventional wisdom since Yaari (1965) is that households without a bequest motive should fully annuitize their investments. Numerous frictions do not break this sharp result. We modify the Yaari framework by allowing a household's mortality risk itself to be stochastic due to health shocks. A lifetime annuity still helps to hedge longevity risk. But the annuity's remaining present value is correlated with medical costs, such as those for nursing home care, thereby reducing annuity demand, even without ad-hoc liquidity constraints. We find that most households should not hold a positive level of annuities, and many should hold negative amounts. (JEL D14, D82, G23, I12, J14, J26)
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BROWN, JEFFREY, STEVEN HABERMAN, MOSHE MILEVSKY, and MIKE ORSZAG. "Overview of the Issue." Journal of Pension Economics and Finance 5, no. 2 (May 11, 2006): i—ii. http://dx.doi.org/10.1017/s1474747206002514.

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The second issue of the fifth volume of the JPEF features 4 research articles, and a book review section. The first article is by Estelle James, Guillermo Martinez and Augusto Iglesias and looks at: “The payout stage in Chile: Who annuitizes and why?” Low rates of voluntary annuitization are a major issue in defined contribution pension designs. Yet, in Chile, about 2/3 of individuals choose to annuitize instead of taking programmed withdrawals. The paper examines the reasons for this high rate of annuitization and concludes that it is due to the combination of a competitive market in annuities and the relatively constrained alternatives available to individuals. The paper nevertheless finds some evidence of adverse selection in the Chile annuity market.
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VIDAL-MELIÁ, CARLOS, and ANA LEJÁRRAGA-GARCÍA. "Demand for life annuities from married couples with a bequest motive." Journal of Pension Economics and Finance 5, no. 2 (May 11, 2006): 197–229. http://dx.doi.org/10.1017/s1474747205002349.

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The aim of this paper is to explain the ‘annuities puzzle’ in greater depth by introducing the bequest motive. It will try to determine whether this motive really is a relevant feature influencing the demand for life annuities from married couples. With this aim in mind, we develop an optimization model of the utility provided by purchasing a life annuity with contingent survivor benefit or a joint survivor life annuity. Our model is based on that first put forward by Brown and Poterba (2000), to which we have added elements from other models, such as Friedman and Warshawsky's (1990) and Vidal and Lejárraga's (2004), which include the bequest motive. This will enable us to calculate the annuity equivalent wealth and the optimal percentage of wealth to annuitize in various contexts: the possibility of access to actuarially fair annuity markets, the inclusion of so-called market imperfections, and the assumption that couples already have part of their wealth in pre-existing life annuities. Numerical results are presented for the case of Spain. The bequest motive is found not to be a significant factor influencing the demand for annuities from couples. Indeed very few couples would be willing to purchase them once we take into account the combined effects of market imperfections, the possibility of pre-existing annuities and the bequest motive. These findings have repercussions for policy makers regulating defined contribution capitalization systems, which are complementary to defined benefit systems.
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HORNEFF, WOLFRAM J., RAIMOND H. MAURER, OLIVIA S. MITCHELL, and MICHAEL Z. STAMOS. "Variable payout annuities and dynamic portfolio choice in retirement." Journal of Pension Economics and Finance 9, no. 2 (January 27, 2009): 163–83. http://dx.doi.org/10.1017/s1474747208003880.

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AbstractMany retirees hope to continue earning capital market rewards on their saving while avoiding outliving their funds during retirement. We model a dynamic utility maximizing investor who seeks to benefit from holding both equity and longevity insurance. She is free to adjust her portfolio allocation of her financial wealth as well as of the annuity over time, and she can purchase variable payout annuities any time and incrementally. In this setting, we show that the retiree will not fully annuitize even without bequests; rather, she will combine variable annuities with withdrawals from her liquid financial wealth so as to match her desired consumption profile. Optimal stock exposures decrease over time, both within the variable annuity and the withdrawal plan. Welfare gains from this strategy can amount to 40% of financial wealth, depending on risk parameters and other resources; additionally, many retirees will do almost as well as the fully optimized outcome if they hold variable annuities invested 60/40 in stocks/bonds.
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Weale, Martin, and Justin van de Ven. "Variable annuities and aggregate mortality risk." National Institute Economic Review 237 (August 2016): R55—R61. http://dx.doi.org/10.1177/002795011623700117.

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This paper explores the extent to which annuitants might be prepared to pay for protection against cohort-specific mortality risk, by comparing traditional indexed annuities with annuities whose payout rates are revised in response to differences between expected and actual mortality rates of the cohort in question. It finds that a man aged 65 with a coefficient of relative risk aversion of two would be prepared to pay 75p per £100 annuitised for protection against aggregate mortality risk while a man with risk aversion of twenty would be prepared to pay £5.75 per £100; studies put the actual cost at £2.70–£7 per £100, suggesting that unless annuitants are very risk averse it is likely that existing products tend to over-insure against cohort mortality risk.
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Rajaram, Rajeev, and Nathan Ritchey. "Polynomial Annuities." AppliedMath 2, no. 2 (May 5, 2022): 212–33. http://dx.doi.org/10.3390/appliedmath2020013.

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We use a payment pattern of the type {1k,2k,3k,…} to generalize the standard level payment and increasing annuity to polynomial payment patterns. We derive explicit formulas for the present value of an n-year polynomial annuity, the present value of an m-monthly n-year polynomial annuity, and the present value of an n-year continuous polynomial annuity. We also use the idea to extend the annuities to payment patterns derived from analytic functions, as well as to payment patterns of the type {1r,2r,3r,…}, with r being an arbitrary real number. In the process, we develop possible approximations to k! and for the gamma function evaluated at real numbers.
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Dissertations / Theses on the topic "Annuities"

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Cao, Guanghua. "Pricing and risk management of variable annuities and equity-indexed annuities." Ann Arbor, Mich. : ProQuest, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3288943.

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Thesis (Ph.D. in Applied Mathematics)--S.M.U., 2007.
Title from PDF title page (viewed Nov. 19, 2009). Source: Dissertation Abstracts International, Volume: 68-11, Section: B, page: 7372. Advisers: Zhangxin (John) Chen; Andrew H. Chen. Includes bibliographical references.
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Gregório, Joana Catalina Mendes Moreira Saúde. "Life annuities and ruin." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/9273.

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Mestrado em Ciências Actuariais
Este trabalho pretende combinar dois grandes tópicos num contexto atuarial: rendas contingentes sobre a vida humana e teoria da ruína, de forma a determinar a probabilidade de ruína financeira para carteiras de anuidades-vida. Duas principais perspetivas podem ser consideradas nesta situação: a dos indivíduos e a das seguradoras de vida, com aplicação de diferentes modelos. Limitações de tempo disponível e extensão do texto conduziram a que apenas a perspetiva das empresas fosse objeto de estudo, aplicando-se o modelo de risco individual clássico. Após uma extensiva revisão literária, os conceitos fundamentais sobre anuidades-vida e teoria da ruína são explicados e um caso de estudo é tratado. Primeiramente, os conceitos teóricos são desenvolvidos, de tal forma que um resultado, não encontrado na literatura, é obtido; segue-se a aplicação dos conceitos a uma carteira de riscos real. O problema a ser resolvido consiste em determinar se as reservas são suficientes para manter a probabilidade de ruína sob controlo, quando considerando tal carteira de anuidades-vida, dividida em grupos homogéneos. Dois procedimentos são seguidos: calcular as probabilidades de ruína, a partir de uma reserva inicial; e encontrar a melhor alocação das reservas iniciais pelos grupos de forma a maximizar as probabilidades de sobrevivência. Frostig e Denuit (2009) é a principal referência bibliográfica. Alguns resultados significativos são observados.
This work intends to combine two major topics under the actuarial framework: life annuities and ruin theory, as to determine the probability of financial ruin for life annuities' portfolios. Two main perspectives may be considered: the household's and the life insurance company's, for which different models apply. Time constraints and limitations on text length became the reason why only the company's perspective has been explored, using a classic individual risk model. After an extensive literature review the basics on life annuities and ruin theory are explained and a case study is toiled. Firstly, the theoretical framework is developed, with a useful result, not found in the literature, being obtained; and finally, the application follows. The problem to be solved consists broadly in studying whether reserves are high enough to keep the ruin probability under control, when considering a given insurer's portfolio of life annuities, divided into homogeneous groups. This is done in two different ways: computing the ruin probabilities, given the initial reserve; and finding the initial reserves' allocation amongst the groups that maximizes the survival probabilities. Frostig and Denuit (2009) is the main reference. Some significant results are observed.
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Robb, Devon K. "Attitudes Towards Immediate Annuities." DigitalCommons@USU, 2010. https://digitalcommons.usu.edu/etd/786.

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Retirement security for Americans is one of the most critical public policy and personal financial issues and will be for decades in the future. Individuals that retire today can live an additional 30 or even 40 years with less secure income as corporations shift to defined contribution plans to fund retirement. Based on the life cycle savings hypothesis, immediate annuities should be appealing to retirees because they insure against the risks of outliving retirement assets by converting funds into a lifelong stream of income. However, research has found that retirees are reluctant to annuitize their wealth. This study examined the attitudes of Utah State University employees toward annuitization of retirement assets and explored the relationship between employee characteristics and their attitudes toward immediate annuities. Data for this study were collected through an online questionnaire emailed to Utah State University employees who participate in a defined contribution plan. The survey gathered information on retirement portfolio losses, expected longevity, financial confidence, familiarity with annuities, and attitudes toward immediate annuities. A total of 744 individuals answered the survey for a response rate of 43.2%. Based on the results of independent t tests, there were statistically significant differences between the attitudes of women and men toward immediate annuities. Women held more positive attitudes toward immediate annuities than men, and women who had taken a retirement planning class had more positive attitudes than women who had not attended a retirement class. In contrast, men who had attended a retirement class expressed less positive attitudes toward immediate annuities than men who had not. Male overconfidence in their investment knowledge and skills may explain this finding. A Pearson correlation coefficient revealed a negative correlation between risk aversion and attitudes toward annuities. As investment risk tolerance decreases, attitudes toward immediate annuities become more positive. An analysis of variance found that individuals with longer than average life expectancies had more positive attitudes toward immediate annuities than subjects with shorter than average life expectancies. Surprisingly, individuals who claimed to be most familiar with immediate annuities showed the least positive attitudes toward annuities. Income and assets, marital status, and financial confidence were not statistically significantly related to attitudes toward annuities. Implications for consumers, financial professionals, educators, and policymakers were drawn from the results of the study.
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Shepard, Mark. "Essays on Health Insurance and Annuities." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17467319.

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Insurance creates an important source of economic well-being by providing for beneficiaries in times of need. But because a variety of forces may inhibit the proper functioning of insurance markets, governments are deeply involved through regulation, subsidies, and direct provision of insurance. This dissertation studies insurance demand, supply, and the role of policy in two types of markets of direct interest to policymakers: health insurance and annuities. I highlight the importance of both traditional market failures (adverse selection and moral hazard) and less standard factors like limited competition (market power) and puzzlingly low insurance demand to influence insurance market outcomes. In the first chapter, I study how health insurers compete in individual insurance markets like those established in the Affordable Care Act. I focus on the role of an increasingly important benefit: plans’ networks of covered medical providers. Using data from Massachusetts’ pioneer insurance exchange, I show evidence of substantial adverse selection against plans covering the most expensive and prestigious academic hospitals. Individuals loyal to the prestigious hospitals both select plans covering them and are more likely to use these hospitals’ high-price care. Standard risk adjustment does not capture their higher costs driven by preferences for using high-price providers. To study the welfare implications of network-based selection, I estimate a structural model of hospital and insurance markets and use the model to simulate insurer competition on premiums and hospital coverage in an insurance exchange. I find that with fixed hospital prices, adverse selection leads all plans to exclude the prestigious hospitals. Modified risk adjustment or subsidies can preserve coverage, benefitting those who value the hospitals most but raising costs enough to offset these gains. I conclude that adverse selection encourages plans to limit networks and star academic hospitals to lower prices, with the welfare implications depending on whether those high prices fund socially valuable services. Chapter 2 also studies health insurance exchanges and the competitive effect of a policy design choice: how the level of subsidies is determined. In the Affordable Care Act exchanges and other programs, subsidies depend on prices set by insurers – as prices rise, so do subsidies. I show that these “price-linked” subsidies incentivize higher prices, with a magnitude that depends on how much insurance demand rises when the price of uninsurance (the mandate penalty) increases. To estimate this effect, I use two natural experiments in the Massachusetts subsidized insurance exchange. In both cases, I find that a $1 increase in the relative monthly mandate penalty increases plan demand by about 1%. Using this estimate, my model implies a sizable distortion of $48 per month (about 12%). This distortion has implications for the tradeoffs between price-linked and exogenous subsidies in many public insurance programs. I discuss an alternate policy that would eliminate the distortion while maintaining many of the benefits of price-linked subsidies. Chapter 3 studies demand for annuities – insurance products that protect retirees against outliving their assets. Standard life cycle theory predicts that individuals facing uncertain mortality will annuitize all or most of their retirement wealth. Researchers seeking to explain why retirees rarely purchase annuities have focused on imperfections in commercial annuities – including actuarially unfair pricing, lack of bequest protection, and illiquidity in the case of risky events like medical shocks. I study the annuity choice implicit in the timing of Social Security claiming and show that none of these can explain why most retirees claim benefits as early as possible, effectively choosing the minimum annuity. Most early claimers in the Health and Retirement Study had sufficient liquidity to delay Social Security longer than they actually did and could have increased lifetime consumption by delaying. Because the marginal annuity obtained through delay is better than actuarially fair, standard bequest motives cannot explain the puzzle. Nor can the risk of out-of-pocket nursing home costs, since these are concentrated at older ages past the break-even point for delayed claiming. Social Security claiming patterns, therefore, add to the evidence that behavioral explanations may be needed to explain the annuity puzzle.
Economics
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Wong, Shek-Keung Tony. "Valuation of Ratchet Equity-Indexed Annuities." Kyoto University, 2008. http://hdl.handle.net/2433/124090.

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Ruez, Frederik [Verfasser]. "Risk management of variable annuities / Frederik Ruez." Ulm : Universität Ulm, 2017. http://d-nb.info/113666050X/34.

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Krayzler, Mikhail [Verfasser]. "Analytical Pricing of Variable Annuities / Mikhail Krayzler." München : Verlag Dr. Hut, 2017. http://d-nb.info/1140978373/34.

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Wang, Lihang. "L'évaluation et la structuration de variable annuities." Paris 9, 2012. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2012PA090036.

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Dans cette thèse, nous étudions les variables annuities (VA) des produits avec garantie de prestations minimales (GMxB), un secteur à croissance rapide dans le domaine de l'assurance vie. Les produits GMxB ont attiré l'attention des praticiens et des universitaires à la fois en raison de leur longue échéance et des propriétés de conception complexes, et aussi à cause des comportements des assurés incertains, notamment en terme de taux d'échéance. Dans cette thèse, nous abordons le problème comme celui de l'évaluation d'une option de type Bermudienne pour l'assureur. Cette démarche d'évaluation correspond au prix qui permet aux assureurs de couvrir le risque quelle que soit la stratégie du titulaire. Nous avons également introduit de nouvelles idées de conception de produits basées sur cette approche garantissant une couverture totale quelle que soit les comportements d' exercices. Il est important de mentionner que jusqu'à présent, un taux d'échéance historique ou statistique est généralement admis pour la valorisation de ces garanties. Tant la théorie financière que les observations passées montrent que cette hypothèse peut conduire à une sous-estimation du risque associé à ces produits, les titulaires étant rationnels ou non. Sur le plan numérique, nous faisons appel à deux type de techniques différents: les méthodes de résolution d'EDP et la méthode de régression en grande dimension (HDR). Il est montré que la méthode PDE est précise à faible dimension (< 3), tandis que l'approche HDR est plus efficace quand il y a plus de trois variables d'état. Dans le modèle de Hull et White à taux d'intérêt stochastique nous montrons aussi comment un changement de numéraire peut être utilisé pour accélérer les algorithmes numériques de manière significative pour les politiques avec cliquet (lookback) propriétés. En outre, nous étendons également la traditionnelle solution semi-analytique pour les options américaines pour évaluer certains GMxB. Une méthode semi analytique est également introduite dans cette thèse pour estimer le prix des options américaines et leur prix d'exercice critique dans un modèle à volatilité stochastique (ex Heston modèle. En fait, cette méthode peut être étendue à d'autres processus de diffusion tant qu'il existe une méthode de tarification précise et rapide existent pour les produits européens correspondants
In this thesis we study the variable annuity (VA) products with guaranteed minimum benefits (GMxB), a fast growing business in the life insurance industry. The GMxB products attract the attention of practitioners and academics both because of its long maturity and complex design properties, and also because of uncertain policyholder behaviors, such as lapse rate. In this thesis, we address the pricing problem as the valuation of a Bermudan-style option for the insurer. This evaluation approach corresponds to the price that allows the insurers to hedge the risk whatever the lapse strategy of the holder is. We also introduce new product design ideas based on this evaluation approach to make sure insurers are fully protected form unexpected lapse waves in the future. It is worthy to mention that so far, a historical or statistical lapse rate has generally been assumed for pricing these guarantees. Both financial theory and past observations show that this assumption may lead to an underestimation of the risk associated to these products, the holders being rational or not. To evaluate the Bermudan-style liability, we apply two di_erent schemes: Partial Differential Equation (PDE) method and high-dimensional regression (HDR) method. It is shown that the PDE method is precise for low-dimensional problems (< 3), while the HDR is more efficient when there are more than three dimensions. In the Hull and White stochastic interest rate model, we also show how a change of numeraire technique can be used to accelerate the numerical algorithms significantly for policies with ratchet (lookback) properties. In addition, we also extend the traditional semi-analytical solution of American options to evaluate certain GMxB polices. A semi-analytical method is also introduced in this thesis to approximate both the American contingent claims and the critical exercise boundary of contingent claims in the stochastic volatility model (e. X. Heston model. In fact, this method can be extended to other diffusion processes as long as quick and accurate pricing methods exist for the corresponding European claims
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Baker, Lesley J. "Life annuities under random rates of interest." [Johnson City, Tenn. : East Tennessee State University], 2001. http://etd-submit.etsu.edu/etd/theses/available/etd-0716101-164302/unrestricted/bakerl0809.pdf.

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Yucal, Elif. "Profitability study of the annuities of EY-Insurance." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11279.

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Mestrado em Ciências Actuariais
Este trabalho procura analisar a rentabilidade obtida com a venda de anuidades e produtos anuais renováveis, na seguradora Vida onde decorreu o estágio. As questões relacionadas com os desvios observados na mortalidade e a necessidade de encontrar um modelo de sobrevivência mais ajustado à experiência da companhia foram aspetos de crucial importância. Procurou assim encontrar-se bases técnicas mais adequadas para o cálculo de prémios e reservas, tanto para os produtos já em comercialização, como para novos produtos que venham a ser lançados, pois também a taxa de juro e as despesas foram afloradas, ainda que brevemente. Por motivos de confidencialidade de dados, procedeu-se a uma distorção dos valores reais. Isto não teve obviamente qualquer consequência do ponto de vista das metodologias e técnicas aplicadas no estudo. Estavam disponíveis dados para um período de quatro anos, na sua maioria relativos a rendas imediatas e rendas imediatas reversíveis. Com base nisso, foi possível detetar que a tábua de mortalidade mais adequada será 108.95% da GKF95, o que talvez permita eliminar a maior parte dos desvios. Em complemento, foi ainda feita uma análise de sensibilidade, com diferentes cenários, para se estudar o efeito sobre o nível das reservas das diferentes possibilidades consideradas. Um exercício final de profit testing revelou que as responsabilidades continuam insuficientemente cobertas, pelo que trabalho adicional é necessário para resolver o problema.
This study aims to evaluate the profitability of the life annuities in the insurance company where the internship took place by concentrating on finding the best mortality table for the company portfolio to quote the price for the new annuity businesses and reserving for the ones already sold. The project is based on real data that was intentionally transformed for the purpose of this text because of confidentiality reasons. The distortion conceals reality in an appropriate manner and has obviously no effects on the methodologies applied. Data concerns immediate and immediate reversible life annuities for four years, since these products comprise the most significant part of the company population of policy holders. The best mortality table for this data is 108.95% of GKF95 table, by least square fitting. In order to forecast the future mortality, the Gompertz-Makeham mortality model was applied and there were no systematic evolution through time for the future mortality. A Sensitivity analysis was performed to show the effects of different scenarios on mathematical reserving. Finally, a profit testing revealed that the technical bases for the annuities are not enough to cover the liabilities. 108.95% of GKF 95 table can be assumed as the initial table and 104.29% of GKF 95 table can be assumed to hold extra reserve, in order to guarantee an adequate mathematical reserve.
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Books on the topic "Annuities"

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David, Shapiro. Annuities. Chicago, IL: Dearborn R&R Newkirk, 1992.

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1958-, Streiff Thomas F., ed. Annuities. 2nd ed. Chicago, Ill: Dearborn R&R Newkirk, 1997.

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1958-, Streiff Thomas F., ed. Annuities. 4th ed. Chicago, IL: Dearborn Financial Institute, 2004.

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Leeuwenburg, Patsy. Marketing annuities. 2nd ed. Atlanta, Ga: LOMA, 2008.

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Pechter, Kerry H. Annuities for dummies. Hoboken, NJ: Wiley, 2008.

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Independent Research & Information Service., ed. Tax-deferred annuities. Los Angeles: Independent Research & Information Service, 1990.

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Jack, Taylor. Taxing deferred annuities. [Washington, D.C.]: Congressional Research Service, Library of Congress, 1992.

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Jack, Taylor. Taxing deferred annuities. [Washington, D.C.]: Congressional Research Service, Library of Congress, 1992.

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Independent Research & Information Service., ed. Tax-deferred annuities. Los Angeles: Independent Research & Information Service, 1991.

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Pechter, Kerry H. Annuities for dummies. Hoboken, NJ: Wiley, 2008.

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Book chapters on the topic "Annuities"

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Pasi, Dave. "Annuities." In Wall Street Potholes, 145–70. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2015. http://dx.doi.org/10.1002/9781119093305.ch7.

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Cipra, Tomas. "Annuities." In Financial and Insurance Formulas, 35–49. Heidelberg: Physica-Verlag HD, 2010. http://dx.doi.org/10.1007/978-3-7908-2593-0_7.

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Richman, Ronald. "Annuities." In Encyclopedia of Gerontology and Population Aging, 1–8. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-319-69892-2_519-1.

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Townsend, Catrin. "Annuities." In A Risky Business, 95–116. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-11673-5_5.

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Sutcliffe, Charles. "Annuities." In Finance and Occupational Pensions, 247–99. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-349-94863-5_5.

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Richman, Ronald. "Annuities." In Encyclopedia of Gerontology and Population Aging, 459–67. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-22009-9_519.

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Gerber, Hans U. "Life Annuities." In Life Insurance Mathematics, 35–47. Berlin, Heidelberg: Springer Berlin Heidelberg, 1990. http://dx.doi.org/10.1007/978-3-662-02655-7_4.

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Fevurly, Keith R. "Variable Annuities." In The Handbook of Professionally Managed Assets, 291–311. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-6020-2_15.

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Gerber, Hans U. "Life Annuities." In Life Insurance Mathematics, 35–47. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03460-6_4.

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Gerber, Hans U. "Life Annuities." In Life Insurance Mathematics, 35–47. Berlin, Heidelberg: Springer Berlin Heidelberg, 1995. http://dx.doi.org/10.1007/978-3-662-03153-7_4.

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Conference papers on the topic "Annuities"

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Li, Yi. "Explanation on “annuities puzzle”." In 2011 International Conference on E-Business and E-Government (ICEE). IEEE, 2011. http://dx.doi.org/10.1109/icebeg.2011.5884485.

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Shang, Qin, and Xuezhi Qin. "Securitization of Longevity Risk in Pension Annuities." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2285.

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Armstrong, Aaron. "Inclusion of Continuous Annuities in Engineering Economics Instruction." In ASME 2022 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2022. http://dx.doi.org/10.1115/imece2022-96205.

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Abstract Practicing engineers are often required to conduct financial analyses of engineering projects and related business ventures. The financial impacts of engineering work often involve repeated payments spread out over time rather than simple single transactions. Usually these payments occur monthly, quarterly, biannually, or annually. However, with advances in transactional and computational capability, systems with increasingly frequent payment structures are becoming more common. The greater efficiencies gained with these more frequent payment structures have led to the possibility of using continuous payment streams where the payment amount and time between payments goes to zero. This paper advances the case for the inclusion of this material in undergraduate engineering economics courses and presents an introduction to the topic and suggested methodology for how it can be integrated and presented in such a curriculum. The inclusion of this material in these courses will improve the effectiveness of engineering economic analysis of current transactional systems as well as to potentially advance the use of continuous annuities in professional engineering-related commerce.
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Liu, Lingchen, Xiuping Yang, Wanpeng Lei, and Ting Li. "Calculations of Special Annuities under Random Rates of Interest." In 2011 Fourth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2011. http://dx.doi.org/10.1109/bife.2011.32.

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Ming-hua Hsieh and Yu-fen Chiu. "Monte Carlo methods for valuation of ratchet equity indexed annuities." In 2007 Winter Simulation Conference. IEEE, 2007. http://dx.doi.org/10.1109/wsc.2007.4419697.

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Shi-long, Li, and Zhao Xia. "Actuarial present values in continuous annuities based on Hossian Assumption." In 2013 International Conference on Management Science and Engineering (ICMSE). IEEE, 2013. http://dx.doi.org/10.1109/icmse.2013.6586306.

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Hsu, William W. Y., Yi Wen Wu, and Jan Ming Ho. "Valuating Interest Sensitive Annuities and Life Insurances under the FinancialCloud Architecture." In 2014 International Symposium on Computer, Consumer and Control (IS3C). IEEE, 2014. http://dx.doi.org/10.1109/is3c.2014.75.

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Gan, Guojun, and Jimmy Xiangji Huang. "A Data Mining Framework for Valuing Large Portfolios of Variable Annuities." In KDD '17: The 23rd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining. New York, NY, USA: ACM, 2017. http://dx.doi.org/10.1145/3097983.3098013.

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Gan, Guojun. "A multi-asset Monte Carlo simulation model for the valuation of variable annuities." In 2015 Winter Simulation Conference (WSC). IEEE, 2015. http://dx.doi.org/10.1109/wsc.2015.7408450.

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Koshkin, Gennady M., and Oxana V. Gubina. "Estimation of the Present Values of Life Annuities for the Different Actuarial Models." In 2016 Second International Symposium on Stochastic Models in Reliability Engineering, Life Science and Operations Management (SMRLO). IEEE, 2016. http://dx.doi.org/10.1109/smrlo.2016.89.

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Reports on the topic "Annuities"

1

Michaud, Pierre-Carl, and Pascal St-Amour. Longevity, Health and Housing Risks Management in Retirement. CIRANO, March 2023. http://dx.doi.org/10.54932/rnkf5751.

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Annuities, long-term care insurance and reverse mortgages remain unpopular to manage longevity, medical and housing price risks after retirement. We analyze low demand using a life-cycle model structurally estimated with a unique stated-preference survey experiment of Canadian households. Low risk aversion, substitution between housing and consumption and low marginal utility when in poor health explain most of the reduced demand. Bequests motives are found to be a luxury good and play a limited role. The remaining disinterest is explained by information frictions and behavioural status-quo biases. We find evidence of strong spousal co-insurance motives motivating LTCI and of responsiveness to bundling with a near doubling of demand for annuities when reverse mortgages can be used to annuitize, instead of consuming home equity
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Davidoff, Thomas, Jeffrey Brown, and Peter Diamond. Annuities and Individual Welfare. Cambridge, MA: National Bureau of Economic Research, May 2003. http://dx.doi.org/10.3386/w9714.

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Gentry, William, and Joseph Milano. Taxes and Investment in Annuities. Cambridge, MA: National Bureau of Economic Research, April 1998. http://dx.doi.org/10.3386/w6525.

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Mitchell, Olivia, and David McCarthy. Annuities for an Ageing World. Cambridge, MA: National Bureau of Economic Research, August 2002. http://dx.doi.org/10.3386/w9092.

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Brown, Jeffrey, Arie Kapteyn, Erzo F. P. Luttmer, and Olivia Mitchell. Cognitive Constraints on Valuing Annuities. Cambridge, MA: National Bureau of Economic Research, June 2013. http://dx.doi.org/10.3386/w19168.

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Brown, Jeffrey, and James Poterba. Household Ownership of Variable Annuities. Cambridge, MA: National Bureau of Economic Research, January 2006. http://dx.doi.org/10.3386/w11964.

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O'Dea, Cormac, and David Sturrock. Survival Pessimism and the Demand for Annuities. Cambridge, MA: National Bureau of Economic Research, August 2020. http://dx.doi.org/10.3386/w27677.

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Sturrock, David, and Cormac O'Dea. Survival pessimism and the demand for annuities. The IFS, January 2019. http://dx.doi.org/10.1920/wp.ifs.2019.0219.

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Poterba, James. The History of Annuities in the United States. Cambridge, MA: National Bureau of Economic Research, April 1997. http://dx.doi.org/10.3386/w6001.

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McCarthy, David, and Olivia Mitchell. International Adverse Selection in Life Insurance and Annuities. Cambridge, MA: National Bureau of Economic Research, September 2003. http://dx.doi.org/10.3386/w9975.

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