Dissertations / Theses on the topic 'Annuities'

Thesis (Ph.D. in Applied Mathematics)--S.M.U., 2007.<br>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.

Mestrado em Ciências Actuariais<br>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.<br>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.

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.

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.<br>Economics

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 (&lt; 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<br>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 (&lt; 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

Mestrado em Ciências Actuariais<br>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.<br>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.

Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains x, 86 p.; also includes graphics Includes bibliographical references (p. 84-86). Available online via OhioLINK's ETD Center

We determine the optimal allocation of funds between the fixed and variable sub-accounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. In section two, the Merton method is applied by assuming that individuals allocate funds optimally in order to maximize the expected utility of lifetime consumption. It also reflects bequest motives by including the recipient's utility in terms of the policyholder's guaranteed death benefits. We derive the optimal transfer choice by the insured, and furthermore price the GMDB through maximizing the discounted expected utility of the policyholders and beneficiaries by investing dynamically in the fixed account and the variable fund and withdrawing optimally. In section three, we add fixed and stochastic income to the model and find that both human capital and the GMDB will influence the insured's allocation and withdrawal decisions. Section four explores the GMDB effects if there is also a term life policy available in the market. Our work suggests that if term life insurance is available and is continuously adjustable, fairly priced GMDBs may not be useful investments and the existence of GMDBs does not affect term life policy demand significantly.

2013/2014<br>The change in mortality trends experienced over the last decades leads to the use of projected mortality tables in order to avoid underestimation of the future liabilities and costs in long term insurance products such as life annuities and pension funds. Although the projected mortality tables aim to capture the dynamic structure of mortality in the future, the future mortality trend itself is random and systematic deviations from the projected mortality might take place. Being a non-pooling risk, the impact of this ``uncertainty risk'' on the insurance portfolios can be dramatic due to the fact that the severity resulting from it increases as the size of the portfolio. For this reason, a proper modelling of uncertainty risk in mortality trends is required. In this work the uncertainty risk modelling in mortality trends has been studied. In this aspect, the two stochastic models in the literature, scenario based and dynamic models have been adopted and assessed their level of capturing the uncertainty in mortality trends. One of the models, the static model, has been extended to the continuous case with the allowance of the multiple cohorts in the portfolio. As defining the model, two approximation methods has been adopted to define the distribution of total number of deaths in the portfolio. Bayesian inferential procedure has been used in updating the random variables representing the uncertainty risk to the experience in the portfolio.<br>XXVII Ciclo<br>1982

Thesis (MComm)--Stellenbosch University, 2013.<br>In this thesis, based on historical data, a comparative study is conducted of various annuity strategies for South African males who retired during the 30 years from 1960 to 1989. To this end, the present values of the monthly cash ows provided by di erent annuity strategies are calculated and compared in order to ascertain which strategy would have provided the largest nancial bene ts. In contrast to previously held general beliefs, the calculations demonstrate that pure living annuity strategies are superior to composite annuity strategies, which in turn outperform switching annuity strategies, whereas pure life annuities yield the lowest return.

This thesis aims to investigate the effect oflongevity risk in the context of life annuities. It develops different tools and frameworks to measure this risk as a step to facilitate the risk management oflongevity risk. Particular attention is directed to stochastic modelling which allows the uncertainty of future projections to be incorporated. Hence, simulation methods are used to consider the distribution of the annuity cost, as well as the more often quoted point estimates. A theoretical extension of the use of the entropy measure applied in population biology by Demetrius (1976) has been developed to measure the effect of a proportionate change in the force of mortality on the cost of life annuity. The properties of the corresponding entropy measure have been then investigated using the Gompertz and the Sithole et al (2000) mortality projection models. Numerical results suggest that, at very high or low levels of mortality, the effect of mortality changes on the value of life annuity is of reduced importance. A full Bayesian model has been developed which incorporates the estimation of the parameters of both the Sithole et al (2000) and the Lee - Carter (1992) mortality projection models within the simulation of the annuity cost. This has been extended to an environment in which the future rates of interest are stochastic. The effect of parameter uncertainty of the Sithole et al (2000) mortality projection model has been considered and shown to be less important than the associated model uncertainty.

Hierdie navorsing ondersoek die gebruik van ‘n uittree annuiteit as ‘n boedelbeplanninginstrument. Die boedelbeplanningstrategie word in die vorm van 'n gevallestudie bespreek waar die trust inter vivos in ooreenstemming met 'n uittree annuiteit vergelyk word. Die vraag wat beantwoord moet word is of ‘n uittree annuiteit as ‘n alternatief gebruik kan word om groei in ‘n persoonlike boedel te beperk vir boedelbelasting doeleindes. In konvensionele boedelbeplanning rig die oprigter 'n trust inter vivos op waarna bates aan die trust verkoop word om die bate uit die boedel te verwyder en sodoende verdere groei in sy persoonlike boedel te beperk. Die enigste oorblywende bate in die boedel is die rentevrye lening welke steeds 'n bate is vir boedelbelastingdoeleindes. Trusts inter vivos het ook in die afgelope tyd in egskeidingsgedinge en in sake waar die Suid–Afrikaanse Inkomstediens betrokke is baie aandag geniet vanweë die misbruik en wanadministrasie van trusts. In die verlede is uittree annuiteite hoofsaaklik gebruik as deel van ‘n kliënt se finansiële beplanning vir besparing van inkomstebelasting en om die kliënt se aftreefondse aan te vul. Die wetgewer het in die laaste twee jaar aansienlike veranderings aangebring aan die Wet op Egskeidings 70 van 1979, die Wet op Pensioenfondse 24 van 1956, Inkomstebelastingwet 58 van 1962 asook die Boedelbelastingwet 45 van 1955, wat die wyse waarop boedelbeplanners na uittree annuiteite kyk heelwat verander het. Die navorsing ondersoek die administrasie, kostes, die impak wat egskeiding, insolvensie en valuta beheer op beide inter vivos trusts en uittree annuiteite het, asook die belastingimplikasies is op beide van hierdie instrumente. Die slotsom is dat die uittree annuiteit wel met groot sukses as ‘n boedelbeplanningsinstrument gebruik kan word aangesien dit tot ‘n besparing in eksekuteursfooie, boedelbelasting en kapitaalwinsbelasting lei. Dit is egter ‘n instrument wat nie vir elke persoon wat ‘n boedelbelasting probleem het voorgestel kan word nie.<br>Thesis (LL.M. (Estate Law))--North-West University, Potchefstroom Campus, 2011.

The first chapter (with Richard Arnott) considers an atomistic developer who decides when and at what density to develop his land, under a property value tax system characterized by three time-invariant tax rates. The second chapter adds to the controversial literature on private annuities. The third chapter examines whether a parent's illness causes adult children to provide their parents with financial assistance<br>Thesis (PhD) — Boston College, 2004<br>Submitted to: Boston College. Graduate School of Arts and Sciences<br>Discipline: Economics

This study explores the experiences and perceptions of older beneficiaries of private medical aid schemes and retirement annuities. Its main research question is: What motivates, challenges and concerns older research participants when it comes to maintaining their good health and financial well-being? Its research objective is to place these lived experiences within the context of the private health and finance sectors of South Africa in order to develop healthy ageing models. It arises out of the increase in longevity and the potential increase of healthcare expenses in old age. The key concepts in this study are ageing frameworks and whealthcare: the relationship between the financial services industry and healthcare sector. A qualitative approach is used with semi-structured interviews with professionals in the healthcare and finance sectors and individuals in the retirement phase of their lives. The study is significant as it gives a deeper understanding of the realities of older people who access private sector services and it provides a framework for greater synergy between the finance and health sectors to promote healthy ageing and prepare individuals for the financial implications of healthcare costs in later age.

Entre 1769 et 1789 le roi de France a émis des emprunts viagers et des tontines à des taux réels très supérieurs à ceux qu’il autorisait aux particuliers. Il l’a fait en connaissance de cause en offrant une prime de risque palliant la faiblesse de sa signature. Celle-ci était masquée par l’absence de table de mortalité et de tarif reconnus. Marginaux à l’origine, ces emprunts ont eu une première importance lors de la guerre de succession d’Espagne avec des rentes mixtes puis avec la consolidation des années 1720. Après une période de petits emprunts en classes d’âges, Ils sont revenus au premier plan des moyens d’endettement pendant la guerre de sept ans lorsque, en négligeant la table de Deparcieux, le roi emprunta en viager à un taux uniforme lors d’emprunts massifs, afin de capter les placements sur des têtes jeunes. Leur importance perdura après le conflit, et ils sont devenus un outil majeur des décennies suivantes, à l’impact financier croissant, par paix comme par guerre, au point de tenir le premier plan dans la dette publique à la veille de la révolution.Alors que genevois, génois et hollandais maitrisaient les règles rudimentaires de la mortalité et optimisaient avec plus ou moins d’efficacité leurs mises dans le viager de France, les nationaux ont ignoré les excellents apports académiques français dans ce domaine et, à l’exception des manieurs d’argent, ont eu un comportement bien moins efficace, aussi bien dans les emprunts publics que privés.Le viager a présenté les avantages et les inconvénients d’un marché trouble, où l’absence de règles affichées permet au roi comme aux particuliers de payer des primes de risque sans le montrer, mais où les personnes âgées sont lésées, et où ceux qui doivent revendre les contrats achetés ne peuvent le faire qu’à prix cassé.La progression du recours de l’état à ces emprunts n’est pas une marque d’incompétence mais d’une dégradation de son crédit pendant les trente ans qui précèdent la révolution, liée à un manque de ressource fiscale<br>Between 1689 and 1789 France issued life annuities and tontines at true rates above what was permitted to private persons. This was made with plain knowledge by offering a risk premium palliating its weak creditworthiness, hidden by the absence of mortality table or accepted life annuities rates. Marginal at the beginning, these loans took a first importance during the war of Spanish succession with mixed annuities, then with the consolidation operations of the 1720s. After a period of small age-group loans, they came back at the forefront of ways to borrow during the seven years war when, neglecting Deparcieux’s life table, the king started to borrow at a uniform life rate in massive loans, trying to catch investments on young people. Their importance continued after this conflict, and they became a major tool for subsequent decades, with an increasing financial impact, by wartime like by peace, reaching the first rank of public debt at the eve of the revolution.Meanwhile Genevan, Genoese, and Dutch mastered the basic rules of mortality and optimized their investments in french life annuities with more or less efficiency, the nationals overlooked french first-class academic contributions in this field and, apart the business community, had far less efficient behaviours, as well for public or private loans.Life annuities had advantages and disadvantages of a murky market, where the lack of apparent rules allows the king or private person to pay risk premium without showing it, but where aged people suffer damage, and where those who have to assign their contract can do it only at a rock-bottom price.The progressive appeal of state at these toxic loans does not mean ineptitude but a heightening credit risk during the thirty years preceding the revolution, linked to a lack of tax based resource

El presente trabajo de investigación tiene por finalidad identificar los posibles impactos financieros en las empresas de seguros para el ramo de rentas vitalicias por el efecto de transición de la norma aún vigente de los contratos de seguros NIIF 4, a la nueva norma NIIF17, la cual, debido a su complejidad entrará en vigencia en enero 2022. La NIIF 17 presenta mayores indicadores para medir los activos y pasivos de las empresas de seguros, con lo que permitirá la comparabilidad de los EEFF en el sector. Este trabajo se encuentra basado en el sector seguros, específicamente en las empresas que ofrecen productos de rentas vitalicias. Consideramos como tema importante que las empresas de seguros tengan en cuenta los cambios que presentará el uso de esta nueva norma, que, si bien su uso obligatorio se ha prolongado para el 2022, la complejidad de la norma hace necesario un estudio anticipado para evaluar todos los posibles impactos a las diferentes áreas de las compañías con lo que permita anticiparse a las limitaciones de la disponibilidad de recursos que la compañía requiera para la adaptación de la nueva norma. Para validar nuestras hipótesis utilizamos instrumentos cualitativos, tales como entrevistas a profundidad, los cuales fueron realizados a expertos del sector de seguros, miembros de la firma más importante de servicios financieros en el Perú, así como a personas involucradas en el sector. Asimismo, presentaremos tres (3) casos prácticos, que simularan los efectos de la transición de la NIFF, en los cuales evaluaremos el impacto financiero en los Estados Financieros en las empresas del sector seguros.<br>The objective of this research work is to guide the results on the profitability of insurance companies for the life annuity branch due to the effect of the transition from the current standard of insurance contracts IFRS 4 to the new standard IFRS17. IFRS 17 presents major indicators to measure the assets and liabilities of insurance companies, with the possibility of comparing the Financial Statements in the sector. This work is based on the insurance sector, specifically on companies that offer life annuity products. Consider as an important issue that insurance companies take into account the changes that present the use of this new standard, which although its mandatory use is extended to 2022, the complexity of the rule requires an early study to evaluate all possible effects to the different areas of the companies with what can be anticipated to the limitations of the availability of the resources that the company requires for the adaptation of the new norm. To validate our hypotheses we use qualitative instruments, stories such as in-depth interviews, those that were carried out by experts in the insurance sector, members of the most important financial services firm in Peru, as well as people involved in the sector. Likewise, we will present three (3) practical cases, which will simulate the effects of the transition of the NIFF, in which we evaluate the financial impact in the Financial Statements in the companies of the insurance sector.<br>Tesis

This thesis consists of three studies on investment strategies for Australian retirees. Specifically, it investigates retirees' preference between alternative drawdown strategies in the presence of government pensions, appropriate management of longevity risk through the use of deferred annuities and asset allocation in retirement. It finds drawdown strategies linked to life expectancy to be the best performers. Deferred annuities are found to improve retirement incomes for risk averse retirees. For retirees who want to meet certain wealth thresholds in retirement, equity dominated portfolios provide superior outcomes for higher threshold levels.

Policyholder exercise behavior presents an important risk factor for life insurance companies. Yet, most approaches presented in the academic literature – building on value maximizing strategies akin to the valuation of American options – do not square well with observed prices and exercise patterns. Following a recent strand of literature, in order to gain insights on what drives policyholder behavior, I first develop a life-cycle model for variable annuities (VA) with withdrawal guarantees. However, I explicitly allow for outside savings and investments, which considerably affects the results. Specifically, I find that withdrawal patterns after all are primarily motivated by value maximization – but with the important asterisk that the value maximization should be taken out from the policyholders’ perspective accounting for individual tax benefits. To this effect, I develop a risk-neutral valuation methodology that takes these different tax structures into consideration, and apply it to our example contract as well as a representative empirical VA. The results are in line with corresponding outcomes from the life cycle model, and I find that the withdrawal guarantee fee from the empirical product roughly accords with its marginal price to the insurer. I further consider the implications of policyholder behavior on product design. In particular – due to differential tax treatments and contrary to option pricing theory – the marginal value of such guarantees can become negative, even when the holder is a value maximizer. For instance, as I illustrate with both a simple two-period model and an empirical VA, a common death benefit guarantee may indeed yield a negative marginal value to the insurer.

Il y a eu 723 000 transactions dans l’immobilier ancien en 2013. Les ventes en viager ontreprésenté entre 0,5% et 1% de ce montant. Le taux de propriétaires de plus de 60 ansdépasse les 70%. Les seniors possèdent 700 milliards d’euros dans l’immobilier. Deux acteurscomposent le viager : un acheteur et un vendeur. Du côté de l’offre, les retraités sont de plusen plus nombreux à vendre en viager puisqu’ils ont besoin de liquidités : « house rich, cashpoor »1. Avec l’allongement de la durée de vie, les seniors doivent financer les frais de santéet le coût de la dépendance. Du côté de la demande, les particuliers comme les institutionnelssont à la recherche de diversifications patrimoniales. On trouve deux fois moins d’acheteursque de vendeurs en viager. Les institutionnels ont investi dans l’immobilier commercial et lesparticuliers dans le résidentiel depuis les années 90. Qu’en est-il pour le viager ? Pourquoi cemode d’acquisition n’a-t-il pas encore séduit les investisseurs ? Nous avons identifié deuxfreins majeurs : l’un financier, l’autre juridique. Nous avons simulé un portefeuille de 300viagers réels en utilisant 3 tables de mortalité. La modélisation de notre base de données apermis de trouver un faible taux de rendement interne sur l’espérance de vie du vendeur.Nous avons trouvé des TRI allant de 1,80% à 5,13% selon la table de mortalité retenue. Pourobtenir un taux de rendement interne de 5% sur l’espérance de vie du vendeur, en prenant lamoyenne des trois tables de mortalité, les investisseurs doivent faire baisser le montant de larente viagère de 17,55%.Nous avons recommandé différentes mesures en direction des pouvoirs publics afind’améliorer la liquidité du viager immobilier :-Déduire le paiement de la rente des autres revenus fonciers.-Déduire les intérêts d’emprunts ayant servi à financer le bouquet des autres revenus fonciers.-Reculer la durée de la clause résolutoire d’un à trois mois.-Ramener à 15 ans l’exonération des plus-values immobilières<br>There were 723,000 transactions in existing property in 2013. Life annuity sales accounted forbetween 0.5% and 1% of this amount. The rate of home ownership among the over 60 agegroup exceeds 70%. Senior citizens own 700 million worth of real estate. Life annuity salesinvolve two players: a buyer and a seller. On the supply side, an increasing number ofpensioners are selling their property for life annuities since they need cash: «house rich, cashpoor». With longer life expectancy, senior citizens need to finance health and dependencycosts. On the demand side, both private and institutional investors seek asset diversification.However, there are twice as few buyers than sellers for life annuity property. Since thenineties, institutional investors have invested in commercial property, and private investors inresidential property. What is the situation for life annuity property sales ? We may wonderwhy this form of property acquisition has not so far attracted investors. We have identifiedtwo major hurdles: one financial, the other one legal. We have simulated a portfolio of 300real life annuity sales by using 3 mortality tables. The modeling of our data base enabled us toidentify a weak rate of return on the life expectancy of the seller. We found rates of internalreturn ranging from 1.8% to 5.13% according to the mortality table retained. In order toobtain a 5% rate of internal return on the life expectancy of the seller, taking the average ofthe three mortality tables, investors need to lower the amount of the life annuity by 17.55%.We have recommended different measures to the public authorities in order to improve theliquidity of property life annuities : deduct the payment of the annuity from other propertyincome, deduct the interests of loans used to fund the other property income mix and increasethe duration of the cancellation clause from one to three months

The objective of this research was to describe the extent to which Gift Annuity Agreements were used by United States higher education institutions in raising private philanthropic support during the period 1988-93.

The subject of this thesis is to assess the status of the supplementary pension scheme in the Czech Republic. The work deals with issues of return pension schemes. Examines aspects that affect profitability, in particular the taxation of pension schemes and the investment of pension funds. On the basis of the knowledge generated through analysis of the comparison is made of benefits to be paid at the end of the period -- annuities and lump sum compensation. The analysis performed provides information about which of these benefits is for the client to the pension fund more profitable option. The first part of the work deals with the characteristics of the supplementary pension scheme in the Czech Republic, describes its emergence, evolution, status in the pensions system. In the second chapter are discussed the main aspects that affect its profitability, taxation, and return on pension funds. The third chapter contains the comparsion annuities and lump sum compensation.

Mestrado em Ciências Actuariais<br>O objectivo deste trabalho é trazer alguns conceitos e elementos utilizados na Matemática Actuarial sob uma óptica contínua, discorrendo pela análise populacional, pelos arranjos securitários - anuidades e seguros - e culminando em um plano de aposentadoria. Para isso, utilizou-se da Lei de Mortalidade de Perks em modelos embasados no mercado brasileiro de fundos de pensão e seguradoras.<br>The objective of this work is to bring some concepts and elements used in the Actuarial Mathematics on the continuous focus, beginning in population analysis, the security nets -annuities and life insurance - and culminating in a retirement plan. For that, we used the Mortality Law of Perks in models based in the Brazilian market of pension funds and insurance companies.

Les histoires de la pensée économique sont relativement discrètes à l’égard des économies politiques socialistes qui se développent en France au cours des deux décennies 1830 et 1840.La thèse se propose de réinvestir ces écrits afin de les inscrire dans une histoire de l’économie politique. La fiscalité est la porte d’entrée de cette enquête. Elle est pensée comme lieu de jonction entre espace politique et espace économique : la fiscalité est envisagée comme dispositif étatique susceptible de catalyser, d’encadrer et de désamorcer la puissance régulatrice du marché. S’intéresser à l’impôt doit ainsi permettre de rendre compte de visions articulées autour des interdépendances pensées par les socialistes entre l’État et le marché. La thèse porte sur deux grandes traditions.Au sein de l’économie politique saint-simonienne, incarnée entre autres par Barthélémy Prosper Enfantin, Michel Chevalier, Alphonse Decourdemanche, Emile et Isaac Pereire,l’impôt est appréhendé dans une perspective très fonctionnaliste. Il s’agit par l’impôt de configurer le marché en rééquilibrant les dotations matérielles et en activant la circulation des capitaux de manière à permettre la baisse du taux d’intérêt. Les saint-simoniens développent par ailleurs une théorie socio-économique de l’emprunt : le développement de l’endettement public est un moyen de socialiser le crédit et les capitaux. La deuxième tradition, celle des socialistes fraternitaires dont Louis Blanc, Pierre Leroux, Jean Reynaud, François Vidal et Constantin Pecqueur sont des représentants, réfute la théorie saint-simonienne de « l’emprunt public illimité » et propose la réforme des institutions économiques et commerciales susceptibles de fournir à la jeune République les ressources nécessaires pour financer le « droit au travail » sans avoir recours ni à l’impôt, ni à l’emprunt.Les arguments développés s’inscrivent dans des économies politiques singulières quimanifestent chacune à leur manière leur opposition à l’économie politique libérale : une économie politique capacitaire (saint-simonienne) incarnée dans un discours technique articulé aux débats financiers de l’époque, une économie politique républicaine (fraternitaire)caractérisée par un discours philosophique qui tente de réintégrer la question politique dans le traitement des affaires économiques. Réinventer la fiscalité pour réorganiser la société est un objectif important que se donnent les socialistes du XIX e siècle français<br>Histories of economic thought are relatively discrete with regards to the socialist political economies which developed in France during the 1830s and 1840s. This dissertation aims to reconsider relevant writings before putting them into the context of the history of political economy. The tax system is the starting point of this study. It is thought of as the meeting point between the political and economic spheres: the tax system is envisaged as a state apparatus, able to catalyze, to structure and to neutralize the regulatory power of the market.An interest in tax thus takes into account socialist viewpoints revolving around the independencies between the State and the market. This dissertation focusses on two maintraditions. Firstly, in Saint-Simonian political economy, embodied amongst others by Barthélémy Prosper Enfantin, Michel Chevalier, Alphonse Decourdemanche, Emile and Isaac Pereire, tax was understood from a very functionalist perspective. It was through tax that the market was structured, by restoring balance to material funds and by activating the movement of capital in such a way as to decrease interest rate. Moreover, the Saint-Simonians developed a socio-economic theory of borrowing: the development of public debt was a means to socialize credit and capital. The second tradition, that of the fraternal socialists represented by Louis Blanc,Pierre Leroux, Jean Reynaud, François Vidal and Constantin Pecqueur, refuted the Saint-Simonian theory of “unlimited public borrowing”. It proposed the reform of the economic and commercial institutions likely to provide the young Republic with the necessary resources to fund the “right to work”, without recourse to tax or to borrowing.The arguments developed were part of singular political economies which demonstrated, eachin their own manner, their opposition to liberal political economy: a capability political economy (Saint-Simonian), manifested in the technical discourse articulated in the financialdebates of the time; a republican political economy (fraternal), characterized by the philosophical discourse which attempted to reintegrate politics into the treatment of economic affairs. The reinvention of the tax system in order to reorganize society was an important objective for the 19 th century French socialists

The purpose of this study was to determine if East Tennessee State University provides its employees appropriate financial planning services. In particular, it is unknown to what degree employees of East Tennessee State University have actively engaged in financial planning. The research was conducted during June and July, 2005. Data were gathered by surveying faculty, staff, and retirees of the university. Ten percent of the population responded to the study. The survey instrument covered the areas of retirement, other financial planning services, and attitudes toward financial planning. The results of the data analysis gave insight into what degree employees of East Tennessee State University have actively engaged in financial planning. For example, over 20% of the respondents encouraged employees to start early in order to achieve the benefit of time value of money. Fifteen percent of the respondents suggested financial planning workshops be offered on a more frequent basis. Approximately 10% of the respondents preferred an instructor to be independent, instead of a financial salesperson. The study provided an increase in the body of knowledge on financial planning for the ETSU employee and established a historical database for the various programs offered within the ETSU system.

2013/2014<br>The past twenty years have seen a massive proliferation in insurance-linked derivative products. The public, indeed, has become more aware of investment opportunities outside the insurance sector and is increasingly trying to seize all the benefits of equity investment in conjunction with mortality protection. The competition with alternative investment vehicles offered by the financial industry has generated substantial innovation in the design of life products and in the range of benefits provided. In particular, equity-linked policies have become ever more popular, exposing policyholders to financial markets and providing them with different ways to consolidate investment performance over time as well as protection against mortality-related risks. Interesting examples of such contracts are variable annuities (VAs). This kind of policies, first introduced in 1952 in the United States, experienced remarkable growth in Europe, especially during the last decade, characterized by “bearish” financial markets and relatively low interest rates. The success of these contracts is due to the presence of tax incentives, but mainly to the possibility of underwriting several rider benefits that provide protection of the policyholder’s savings for the period before and after retirement. In this thesis, we focus in particular on the Guaranteed Lifetime Withdrawal Benefit (GLWB) rider. This option meets medium to long-term investment needs, while providing adequate hedging against market volatility and longevity-related risks. Indeed, based on an initial capital investment, it guarantees the policyholder a stream of future payments, regardless of the performance of the underlying policy, for his/her whole life. In this work, we propose a valuation model for the policy using tractable financial and stochastic mortality processes in a continuous time framework. We have analyzed the policy considering two points of view, the policyholder’s and the insurer’s, and assuming a static approach, in which policyholders withdraw each year just the guaranteed amount. In particular, we have based ourselves on the model proposed in the paper “Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities” by M. C. Fung, K. Ignatieva and M. Sherris (2014), with the aim of generalizing it later on. The valuation, indeed, has been performed in a Black and Scholes economy: the sub-account value has been assumed to follow a geometric Brownian motion, thus with a constant volatility, and the term structure of interest rates has been assumed to be constant. These hypotheses, however, do not reflect the situation of financial markets. In order to consider a more realistic model, we have sought to weaken these misconceptions. Specifically we have taken into account a CIR stochastic process for the term structure of interest rates and a Heston model for the volatility of the underlying account, analyzing their effect on the fair price of the contract. We have addressed these two hypotheses separately at first, and jointly afterwards. As part of our analysis, we have implemented the theoretical model using a Monte Carlo approach. To this end, we have created ad hoc codes based on the programming language MATLAB, exploiting its fast matrix-computation facilities. Sensitivity analyses have been conducted in order to investigate the relation between the fair price of the contract and important financial and demographic factors. Numerical results in the stochastic approach display greater fair fee rates compared to those obtained in the deterministic one. Therefore, a stochastic framework is necessary in order to avoid an underestimation of the policy. The work is organized as follows. Chapter 1. This chapter has an introductory purpose and aims at presenting the basic structures of annuities in general and of variable annuities in particular. We offer an historical review of the development of the VA contracts and describe the embedded guarantees. We examine the main life insurance markets in order to highlight the international developments of VAs and their growth potential. In the last part we retrace the main academic contributions on the topic. Chapter 2. Among the embedded guarantees, we focus in particular on the Guaranteed Lifetime Withdrawal Benefit (GLWB) rider. We analyze a valuation model for the policy basing ourselves on the one proposed by M. Sherris (2014). We introduce the two components of the model: the financial market, on the one hand, and the mortality intensity on the other. We first describe them separately, and subsequently we combine them into the insurance market model. In the second part of the chapter we describe the valuation formula considering the GLWB from two perspectives, the policyholder’s and the insurer’s. Chapter 3. Here we implement the theoretical model creating ad hoc codes with the programming language MATLAB. Our numerical experiments use a Monte Carlo approach: random variables have been simulated by MATLAB high level random number generator, whereas concerning the approximation of expected values, scenario- based averages have been evaluated by exploiting MATLAB fast matrix-computation facilities. Sensitivity analyses are conducted in order to investigate the relation between the fair fee rate and important financial and demographic factors. Chapter 4. The assumption of deterministic interest rates, which can be acceptable for short-term options, is not realistic for medium or long-term contracts such as life insurance products. GLWB contracts are investment vehicles with a long-term horizon and, as such, they are very sensitive to interest rate movements, which are uncertain by nature. A stochastic modeling of the term structure is thus appropriate. In this chapter, therefore, we propose a generalization of the deterministic model allowing interest rates to vary randomly. A Cox-Ingersoll-Ross model is introduced. Sensitivity analyses have been conducted. Chapter 5. Empirical studies of stock price returns show that volatility exhibits “random” characteristics. Consequently, the hypothesis of a constant volatility is rather “counterfactual”. In order to consider a more realistic model, we introduce the stochastic Heston process for the volatility. Sensitivity analyses have been con- ducted. Chapter 6. In this chapter we price the GLWB option considering a stochastic process for both the interest rate and the volatility. We present a numerical comparison with the deterministic model. Chapter 7. Conclusions are drawn. Appendix. This section presents a quick survey of the most fundamental concepts from stochastic calculus that are needed to proceed with the description of the GLWB’s valuation model.<br>Negli ultimi venti anni si `e assistito ad una massiccia proliferazione di prodotti de- rivati di tipo finanziario-assicurativo. Gli individui, infatti, sono diventati sempre piu` consapevoli delle opportunita` di investimento esistenti al di fuori del settore as- sicurativo e pertanto richiedono all’impresa di assicurazione non solo la protezione contro il rischio di mortalit`a/longevit`a, ma anche tutti i benefici di un investimento di capitali. Ed `e proprio per soddisfare le esigenze del mercato e per fronteggiare la concorrenza alimentata da altri competitors (banche, ecc.) che il mercato assi- curativo sta cambiando ed ha iniziato a sviluppare nuovi prodotti assicurativi ad elevato contenuto finanziario. Nell’ambito di questi prodotti, particolare interesse rivestono le cosiddette polizze variable annuities. Introdotte per la prima volta negli Stati Uniti nel 1952, esse hanno raggiunto ben presto un notevole sviluppo anche in Europa, soprattutto nell’ultimo decennio caratterizzato da mercati finanziari bearish e da tassi di interesse relativamente bassi. Il successo di questo tipo di contratti `e dovuto al favorevole trattamento fiscale di cui godono, ma soprattutto all’offerta di opzioni implicite che garantiscono una protezione dei risparmi degli investitori prima e dopo il pensionamento. In questo lavoro di tesi, ci siamo concentrati in particola- re sull’opzione Guaranteed Lifetime Withdrawal Benefit (GLWB). Essa permette di soddisfare esigenze di investimento di medio/lungo periodo e nello stesso tempo offre una discreta copertura al rischio dovuto alla volatilit`a dei mercati e al longevity risk. Infatti, a fronte di un capitale iniziale investito, garantisce all’assicurato un flusso di pagamenti futuri indipendente dalla performance della polizza sottostante per tutta la durata della sua vita. Piu` precisamente, in questo lavoro proponiamo un modello di valutazione per questo tipo di contratto, facendo ricorso a processi stocastici per descrivere la componente finanziaria e quella legata alla mortalità dell’assicurato. Analizziamo la polizza considerando sia il punto di vista del cliente che quello della compagnia di assicurazione. La nostra valutazione si è basata sul modello proposto da M. C. Fung, K. Ignatieva e M. Sherris nell’articolo “Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities” (2014). Tuttavia le ipotesi alla base di questa analisi non trovano giustificazione nel mercato; in effetti, considerare un tasso di interesse ed una volatilità costanti sembra poco sensato. Proprio per proporre un modello più fedele al mercato, si è pensato di indebolire questi assunti, prendendo in considerazione un processo stocastico a sé stante per descrivere la dinamica del tasso di interesse e della volatilità. Dapprima abbiamo analizzato separatamente l’impatto dei due processi sul prezzo equo dell’opzione, per poi considerare anche il loro effetto congiunto. Come parte integrante del lavoro, abbiamo implementato il modello teorico proposto impiegando un approccio Monte Carlo. A questo scopo abbiamo creato codici ad hoc utilizzando il linguaggio di programmazione MATLAB, sfruttando al meglio tutte le sue potenzialità di calcolo matriciale. Sono state condotte analisi di sensitività per analizzare l’impatto sul prezzo equo dell’opzione di alcuni importanti parametri finanziari e demografici. I risultati numerici mostrano come effettivamente l’impiego di un approccio stocastico sia più capace di descrivere le fluttuazioni del mercato e quindi permetta di ottenere risultati più realistici. Il valore equo delle commissioni applicate dalla compagnia di assicurazione per l’attivazione della garanzia GLWB aumenta quando si passa da un approccio deterministico ad uno stocastico (soprattutto se quest’ultimo considera congiuntamente tassi di interesse e volatilità stocastici), rivelando come un adeguato modello stocastico sia necessario per evitare una sottovalutazione di tali polizze. Il lavoro è strutturato come segue: Capitolo 1. Questo capitolo ha un ruolo introduttivo e mira a fornire una descrizione delle caratteristiche principali delle polizze variable annuities. Si analizza l'evoluzione storica di tali polizze ed il loro sviluppo nei principali mercati internazionali. Segue una breve rassegna dei principali contributi accademici sulla valutazione di tali contratti e si spiegano le ragioni alla base di questo lavoro. Capitolo 2. Tra le varie garanzie implicite nei contratti variable annuity ci soffermiamo sull'opzione Guaranteed Lifetime Withdrawal Benefit. In questo capitolo analizziamo il modello di valutazione del contratto proposto da M. Sherris (2014); introduciamo le due componenti del modello (il mercato finanziario e l'intensità di mortalità) dapprima descrivendole separatamente, poi combinandole. Nella seconda parte del capitolo studiamo le formule per il calcolo del prezzo equo del contratto considerando due punti di vista, quello dell'assicurato e quello dell'assicuratore. Capitolo 3. In questo capitolo implementiamo il modello teorico creando codici ad hoc con il linguaggio di programmazione MATLAB. Le nostre valutazioni sono state realizzate utilizzando un approccio Monte Carlo. Diverse analisi di sensitività sono state condotte per analizzare l’impatto sul prezzo equo dell’opzione di alcuni importanti parametri finanziari e demografici. Capitolo 4. In questo capitolo si propone una generalizzazione del modello deterministico indebolendo l'ipotesi di struttura a termine dei tassi di interesse costante. Per descrivere la dinamica del tasso di interesse si introduce in particolare un processo Cox- Ingersoll- Ross. Capitolo 5. In questo capitolo si indebolisce l'ipotesi che considera costante la volatilità del fondo d'investimento prevedendo una dinamica descritta dal processo di Heston. Capitolo 6. Si descrive un modello che considera congiuntamente un processo stocastico per i tassi di interesse (CIR) e per la volatilità (Heston). Si conducono analisi di sensitività e si mostrano i risultati ottenuti. Capitolo 7. In questo capitolo traiamo le conclusioni del nostro lavoro. Appendice. Proponiamo una breve rassegna delle principali nozioni di calcolo stocastico necessarie per meglio comprendere la descrizione del modello di valutazione.<br>XXVII Ciclo<br>1986

La présente thèse s'intéresse à trois acteurs du financement des régimes de retraite : le législateur, l'assureur et l’individu. Dans un environnement en proie à un comportement déviant du marché financier et à des évolutions démographiques défavorables, le rôle de ces parties prenantes doit impérativement faire l’objet d’une réévaluation pour relever le défi de la pérennité du financement des retraites. L’étude de la règlementation et de la conception des régimes a été réalisée en intégrant des caractéristiques types du futur paysage des retraites, telles que le poids de plus en plus important du risque assumé par l’individu ou l’éventuelle participation d'investisseurs boursiers dans l’offre de contrats. Les conclusions de cette étude permettent de dégager des orientations en vue de la gestion du risque de longévité pour les individus, une évaluation de l’attrait de l’exposition au risque de longévité pour les investisseurs, des informations sur l’élaboration des contrats pour les assureurs ainsi que des propositions, pour les décideurs politiques, de mesures règlementaires favorisant la durabilité du paysage des retraites<br>This dissertation examines three stakeholders in pension finance: the individual, the policymaker, and the pension provider (e.g., an insurer or a pension fund). In a setting beset by unforseen financial market circumstances and demographic changes that disfavor financial security in retirement, a re-evaluation of these stakeholders’ role is necessary. We explore the regulation and design of retirement plans by incorporating features that characterize the future retirement landscape, such as the increasing burden of risk borne by the individual, and the potential involvement of market investors in the provision of retirement contracts. The implications of our findings encompass guidance for individuals in managing longevity risk, evaluation of the appeal of longevity risk exposure to investors, insights on contract design for the insurer, and proposals to the policymaker on regulatory measures that foster a sustainable retirement environment

<p>As a result of increased energy prices more and more energy-efficient homes are coveted. An energy-efficient alternative is passive houses, which is characterized by an extremely well insulated building envelope that recovers the heat without the use of radiators or under floor heating. But a passive house requires a higher investment cost than a conventional building project, since it will require more construction materials, training of construction workers, greater land area, and long construction period. But the lower operating cost expects to pay back the higher cost of investment. We therefore question how profitable a passive house is in relation to houses built according to modern conventional building techniques.</p><p>The aim of our study is to investigate the viability of passive houses compared to convent­ional houses. By using economic tools we intend to pursue this question of profitability to see where, when and how costs and revenues emerge.</p><p>Our report resulted in a case study where we looked closer at the passive house project Oxtorget and the conventional project Apollofjärilen, which both are owned by Finnveds­bostäder in Värnamo. Through interviews with Per-Magnus Rylander, project manager for Oxtorget, and Jan-Olof Fag, operation manager for Oxtorget, we got access to sufficient infor­mation about the two projects to compare the various profitability calculations, to finally discover which of the two projects that was most profitable.</p><p>With the help of our collected empirical data and economic tools, we concluded that Oxtorget became an unnecessarily expensive passive house project. This is because Oxtorget was built in such an early stage that information and experience from passive technology was missing, which involved a cost to the construction team to learn new technologies. Besides, there were only two offers, which meant less competition and therefore a high price. But it is primarily Oxtorgets planning cost that has affected our profitability calculations adversely. Since the building was appealed it required two planning’s which made Oxtorgets investment cost more difficult to recoup. But thanks to government contributions and low rates, we could still come to the conclusion that Oxtorget was a profitable venture, but nowhere near as profitable as we initially expected. Finally, we found out that we believe that if a similar comparative study carried out in which the passive house project follows a normal building process we will see a significant change of the result. We have also realized that the rate plays a significant role on projects profitability. For this reason, we have finally found that minimized investment costs are the most important thing to ensure that a passive house is more profitable than a convent­ional house.</p>

A l’heure où le droit du dommage corporel tente de se démarquer de pars les règles qui lui sont propres, la réparation intégrale des dommages corporels ne semble être véritablement obtenue par la victime que dans le cadre de la responsabilité civile. Le préjudice professionnel a gagné en autonomie depuis l’élaboration de la nomenclature Dintilhac distinguant les pertes de gains professionnels du déficit fonctionnel et conceptualisant un nouveau poste de préjudice professionnel « l’incidence professionnelle ». La réparation intégrale « tout le préjudice ; rien que le préjudice ; le préjudice réel » en devient l’expression. Cependant ce principe est souvent malmené et inéluctablement des inégalités de traitement entre les victimes en découlent. En effet, l’influence excessive du recours des tiers payeurs, sur l’évaluation du préjudice professionnel et l’absence d’outils indispensables à la pérennité de la matière laissent perplexes<br>At a time when the law of personal injury tries to stand out from the rules that are specific to it, full compensation for bodily injury seems to be truly obtained by the victim only in the context of civil liability. Professional prejudice has become more autonomous since the development of the Dintilhac classification distinguishing professional earnings losses from the functional deficit and conceptualizing a new professional harm position « professional incidence ». Comprehensive reparation « all prejudice; nothing but prejudice; the real harm » becomes its expression. However, this principle is often abused and inevitably inequalities of treatment between victims result. Indeed, the excessive influence of third-party payers' recourse on the assessment of professional harm and the absence of tools essential to the sustainability of the matter are puzzling

När fler människor flyttar ut till sina fritidshus och bor där hela året om bildas så kallade omvandlingsområden där användningen av vatten och avlopp förändras. Detta leder ofta till högre vattenanvändning och kraven på avloppssystemen ökar därmed. Det finns tre huvudtyper av lösningar som vanligtvis används för att möta kravet på bättre avloppssystem i omvandlingsområden: enskilda lösningar på varje fastighet, en samfälld lösning eller en lösning i kommunal regi. Syftet med studien var att utvärdera kostnader för VA-system i omvandlingsområden i Sverige. Fem olika områden studerades med avseende på beräknade kostnader jämfört med det verkliga utfallet. Beräkningar gjordes på totala investeringskostnader, kostnad per fastighet såväl som kapitalkostnad och drift- och underhållskostnad. Jämförelser gjordes också med andra lösningar som var aktuella innan området byggde ut den valda VA-lösningen. Arbetet berörde även metodiken för hur kommuner väljer VA-system i omvandlingsområden. Det var billigare för en samfällighetsförening, 1 000 kr/m, att gräva ledningar än för en kommun, 4 400 - 5 900 kr/m. Grundare ledningsgravar var en av orsakerna till detta. En annan slutsats var att befintlig infrastruktur från tidigare VA-system kan göra samma typ av VA-system billigare om delar av det befintliga fortfarande är i gott skick. Driftkostnaden för enskilda system beror mycket på hur många personer som nyttjar systemet och under hur stor del av året. Vid samtal med kommuner framkom det att valet av VA-system i omvandlingsområden i regel inte föregås av en jämförelse mellan olika VA-system. Istället är det oftast en överföringsledning till ett befintligt kommunalt nät som väljs.<br>More and more people choose to live permanently in houses built as vacation houses, thereby creating transition areas. The increased occupancy in the houses tends to lead to larger water usage and often demands improved wastewater systems. There are three main ways in which this demand usually is met: each property builds an on-site system, the properties jointly build a facility through a community association, or the properties connect to the municipality’s network. The aim was to evaluate the costs of water and wastewater systems in transition areas in Sweden. This was done by studying five different improved transition areas and comparing the estimated costs with the actual cost of the systems. Both total investment costs and cost per property were calculated, as well as capital costs, and operation and maintenance costs. How the municipalities choose the sanitation system to be implemented was also a part of the study.  It was much more expensive for the municipality to build pipes than for a community association. One reason for this was shallower pipe placement. Another conclusion was that if part of a sanitation system already exists and is in good shape, this will lead to lower investment costs for a new system using that part. The operation costs for on-site systems on each property will be much higher for a family living there permanently, compared to that of a family living there only part time. Municipalities in Sweden generally do not compare different types of systems before deciding on an improved water and sanitation system in a transition area. Instead they almost always build a transmission line for water and wastewater to connect the area to an already existing centralized system.

Examensarbetet utfördes under våren 2021 på ett svenskt företag i Centrala Sverige. Uppdraget har som syfte haft att få en objektiv inblick i företagets lagersituation för försäljningen i EMEA. Uppdragets mål var att undersöka vart kostnadsbesparingar kunde göras, hur koldioxidutsläpp kunde reduceras för transporter av SMT produkter och hur servicenivån till kunderna kunde öka med att korta ned interna och externa ledtider. För att möjliggöra dessa kriterier undersöktes den befintliga lagersituationen mot en omställning för att komma närmare kunderna i EMEA. Med syfte att minska på transportdistanserna från lager till kund och från produktion till lager. För att möjliggöra arbete har information givits av företaget där ansvariga personer för respektive avdelning och en förstudie om vart ett lager bör placeras. Förstudien har jämförts mot den interna datainsamlingen. Interndatasamlingen har bestått av intervjuer och analyser utav tidigare arbeten i form av säljvolym och kundlokalisation granskats för att få en inblick i hur materialet flödar vid försäljning i EMEA. Logistiken för nuläget har gett en djupare förståelse i hur problemet uppstått och varför förbättringar önskats. När slut produktionen ligger närmare slutkunden än vad det befintliga central lagret gör i dagensläge antas att förbättringar kan göras. Med en granskning av företagets transportkostnader, lagerkostnader och distansen till samtliga kunder har resultatet visat på att vinningar kan göras på samtliga punkter.<br>This thesis project was carried out in the spring of 2021 at a Swedish owned company located in central Sweden. The purpose of the assignment was to gain an objective insight into the company’s stock situation for sales in EMEA. Then to investigate where cost savings could be made, how carbon dioxide emissions could be reduced for transport of SMT, and finally how the level of service to customers could increase by shorting internal and external lead times. To enable these criteria, the existing stock situation was examined towards a changeover to get closer to the customers in EMEA. Thus aiming to reduce the transport distance from warehouse to customer and from production to warehouse. To enable this project, information has been provided by the people responsible for each department and a feasibility study was carried out on where the warehouse should be located. The feasibility study has been compared with the internal data collection. This collection has consisted of interviews and analyzes of previous work in the form of sales volume. Customer locations has also been examined to get an insight into how the material flows during sales in EMEA. The logistics for the current situation provide a deeper understanding of how the problem arose and why improvements were needed. When the finishing production is closer to the customers of the company than what the existing warehouse does in the current situation, it is assumed that improvements can be made. With a careful examination of the company’s transport costs, warehouse costs and the distance to all customers in EMEA, the results have shown that gains can be made on all points.

Des nombreux aspects des fonds de pension, nous nous intéressons ici à leur modélisation et à l'organisation des systèmes de retraites dans le monde. Dans une première partie, nous présentons les différentes organisations de systèmes de retraites et la modélisation des fonds de pension en général suivie de la modélisation dynamique discrète avec la modélisation statique comme cas particulier de la discrète. Ainsi, nous constatons que les différents systèmes de retraites sont caractérisés par une grande diversité, mais restent néanmoins regroupés sous trois grands groupes qui se croisent souvent. Ce sont : les retraites par répartition, les retraites par capitalisation et les retraites par subvention. Nous introduisons la modélisation des systèmes de retraites par capitalisation en commençant par donner une vision générale incorporant une typologie des risques de fonds de pension. Nous présentons ensuite les méthodes pratiques et courantes de la modélisation en temps discret. La deuxième partie de la thèse accueille les développements de la modélisation en temps continu. Dans une économie dynamique et un marché non nécessairement complet, avec une expression stochastique des évolutions de l'inflation et des prix, nous usons du zéro-coupon nominal et du zéro-coupon indexé sur les prix de la consommation. Grâce aux outils et principes des assurances, des valeurs actuarielles des flux continus de cotisations et pensions sont fournies. Tout en faisant le lien avec les résultats issus de la littérature, nous appuyons, aussi bien en première partie qu'en deuxième, les portefeuilles optimaux de fonds de pension avec leurs probabilités de ruine, par des illustrations à travers des exemples concrets et des simulations numériques.

A general methodology is described in which policyholder behaviour is decoupled from the pricing of a variable annuity based on the cost of hedging it, yielding two sequences of weakly coupled systems of partial differential equations (PDEs): the pricing and utility systems. The utility systems are used to generate policyholder withdrawal behaviour, which is in turn fed into the pricing systems as a means to determine the cost of hedging the contract. This approach allows us to incorporate the effects of utility-based pricing and factors such as taxation. As a case study, we consider the Guaranteed Lifelong Withdrawal and Death Benefits (GLWDB) contract. The pricing and utility systems for the GLWDB are derived under the assumption that the underlying asset follows a Markov regime-switching process. An implicit PDE method is used to solve both systems in tandem. We show that for a large class of utility functions, the two systems preserve homogeneity, allowing us to decrease the dimensionality of solutions. We also show that the associated control for the GLWDB is bang-bang, under which the work required to compute the optimal strategy is significantly reduced. We extend this result to provide the reader with sufficient conditions for a bang-bang control for a general variable annuity with a countable number of events (e.g. discontinuous withdrawals). Homogeneity and bang-bangness yield significant reductions in complexity and allow us to rapidly generate numerical solutions. Results are presented which demonstrate the sensitivity of the hedging expense to various parameters. The costly nature of the death benefit is documented. It is also shown that for a typical contract, the fee required to fund the cost of hedging calculated under the assumption that the policyholder withdraws at the contract rate is an appropriate approximation to the fee calculated assuming optimal consumption.

碩士<br>逢甲大學<br>統計與精算所<br>94<br>Due to the improved medical care, epidemic and infectious illness has been effectively controlled, and the entire sanitation and living quality has also progressed in Taiwan. The social structure is changed from high birth rate and mortality to low birth counterparts that the average age is extended. Therefore, the demand on annuity surged and insurance company has to take morality management into account when designing new policy in order to manage the increasing demand. This paper will use the structure of financial asset securitization to explain the cash flow and mortality bond evaluation model among insurance company, SPC, and investing third party. The research found that if annuity beneficiary exceeds the expected volume in a certain year, insurance company can receive subsidiary from SPC when they issue the mortality bond through SPC. On the contrary, investors’ coupon decreases and it demonstrates that securitization shifts the mortality risk from insurance company to investors, and by means of issuing mortality security, insurance company can lower the re-insurance to have surplus capital for more effective use.

碩士<br>國立臺灣海洋大學<br>資訊工程學系<br>102<br>The ability to integrate data into information is important in the era of information explosion. Useful information is processed from data from multiple sources. Under the cloud computing architecture, web services can be used to join sources that the user needs, and can be adjusted to fit the underlying problem waiting to be solved. Moreover, the construction of cloud computing system can lower hardware cost, increase flexibility, and provided a basis system for incorporate future modules to price financial derivatives. Pricing and risk measurement of one of the key objectives in financial engineering. This research proposes a cloud system based on the FinancialCloud architecture. Choosing the interest sensitive annuity insurance contract as an experiment subject, this system can integrate and combine information from multiple source to obtain the price of the insurance contact. With this information in hand, future investors can choose among all the financial products and select the one which benefits them the most.

碩士<br>東吳大學<br>財務工程與精算數學系<br>102<br>The first Equity-Indexed Annuities (EIAs) was issued by Keyport Life in February 1995, it brought the interest and excitement of the market. The return of EIA contract is dependent on the performance of a linked-index, which is mostly based on the American Standard and Poor's (S&P) 500 index. This thesis explores the pricing and hedging issues from the insurers’ perspective. The payoff of an EIA contract can be expressed in the form of a call option but with much longer contract period ranging from 5 to 15 years, thus it is difficult for insures to find hedging instruments directly from the market. The insurers face substantial risks and finding an effective hedging strategy is very important. The aim of this thesis is to provide pricing formula for various types of EIA contract design and examine the effect of dynamic hedging.

Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management<br>Over the last years, mortality rates have been declining, improving human population longevity. This exposes insurance companies and pension funds to longevity risk, which cannot be diversified since it affects all the population in the same direction. Furthermore, the longevity risk also has an impact on individuals that can outlive their assets in a context where the benefits provided by Social Security may not be enough. As a result, several solutions have been proposed to cope with longevity risk, such as, the use of new approaches in terms of product design allowing either the creation of risk-sharing mechanisms between individuals and insurers or a complete transfer of the risk from insurers to individuals. Considering that the longevity risk needs to be analyzed in accordance with the characteristics of a reference population, the recent improvements noted in the longevity of the Portuguese population, and, in order to take into account the policyholder perspective, this investigation is focused on the implementation, in terms of pricing, of two contract structures that are based on risk-sharing mechanisms, namely Longevity-index life annuities (LILA) and Longevity-contingent deferred life annuities (LDLA). To perform this study, age-specific mortality rates were forecasted through the Poisson Lee-Carter model and financial returns were projected considering a Geometric Brownian motion and the 2- factors Vasicek model. Furthermore, considering that the benefits of a LILA can change overtime, it was also calculated an Utility-equivalent fixed life annuity through the use of a Constant Relative Risk Aversion model. The results show that, when no limit is imposed on the risk transferred to the individuals, the price of a Longevity-index life annuity with profit share represents between 92.51% and 102.24% of the price of an immediate life annuity, which means that in a low-risk scenario, the losses caused by changes in longevity can be compensated by the investment returns present in the contract. Concerning the Longevity-contingent deferred life annuities, where the period of deferment changes with the dynamics of life expectancy, the results show that for the different ages, an additional period of deferment between 1 and 3 years would be needed to manage the longevity risk inherent to the contract. Finally, it is concluded that the use of longevity-linked annuities provides a relevant solution to manage the insurers’ concerns with unexpected changes in life expectancy, while also gives the individuals a chance of acquiring an annuity product at a reduced price. However, the product design should be carefully studied by the insurers, considering the implementation of limits on the risk transferred to the policyholders in order to avoid issues in terms of demand.