Annuities and Other Retirement Products

Rocha, Roberto A.; Vittas, Dimitri; Rudolph, Heinz P.

doi:10.1596/978-0-8213-8573-9

Cited by 26 publications

(20 citation statements)

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“…For an overview of alternative annuity designs, including bonus‐based variable annuities that expose annuitants to systematic longevity risks, see, for example, Rocha, Vittas, and Rudolph ().…”

mentioning

confidence: 99%

Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities

Maurer

Mitchell

Rogalla

et al. 2013

J of Risk & Insurance

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This article assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption and portfolio allocation, allowing for systematic longevity risk. Under a self-insurance strategy, insurers set premiums to reduce the chance that benefits paid exceed provider reserves. Under a participating approach, the provider avoids taking systematic longevity risk by adjusting benefits in response to unanticipated mortality shocks. Young households with participating annuities average one-third higher excess consumption, while 80-year-olds increase consumption about 75 percent. Many households would prefer to participate in systematic longevity risk unless insurers can hedge it at a very low price.

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confidence: 99%

Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities

Maurer

Mitchell

Rogalla

et al. 2013

J of Risk & Insurance

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“…Davidoff, Brown and Diamond (2005), Rocha et al (2011), Mitchell and Piggott (2011)). Full insurance of idiosyncratic longevity risk is welfare enhancing if a number of necessary conditions are satisfied.…”

Section: Longevity Insurancementioning

confidence: 99%

Personal Pensions with Risk Sharing. Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg

Nijman

2015

SSRN Journal

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Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of these developments, policyholders desire pensions tailored to their individual needs. This paper proposes a new type of pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of heterogeneous individuals. Moreover, unlike variable annuities, PPRs allow investment risks to be combined with longevity insurance without giving rise to high year-on-year volatility in consumption streams or opaque and rigid valuation and smoothing rules. The unbundling of functions in the PPR also deepens the internal markets for financial and insurance products while at the same time accommodating the diverse traditions of countries in terms of occupational pension provision. Finally, the PPR reconciles financial, fiscal and macroeconomic stability with growth by increasing the supply of long-term risk-bearing and illiquid capital, complementing public retirement provision, reducing the interest-rate sensitivity of pensions and smoothing shocks. 1 The authors thank Casper van Ewijk for helpful comments on an earlier draft. Errors and misperceptions remain the exclusive responsibility of the authors.

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“…Correct contract management requires a fine awareness, applied at the time of issue, of the evolution in time of both the insurer's obligations and the income capabilities or, more synthetically, a competent awareness of the design of the payment phase, as is pointed out in [13]. The analysis turns on the actuarial control of the periodic financial margins arising from the management of the policy [14].…”

Section: The Performance Analysis In the Case Of A Novel Participatinmentioning

confidence: 99%

Measuring Risk-Adjusted Performance and Product Attractiveness of a Life Annuity Portfolio

Lorenzo¹,

Orlando²,

Sibillo³

2017

JMF

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The paper proposes a new methodological approach for the product performance analysis into the actuarial context. Two indexes are proposed as restyled versions of the corresponding most popular ones: They have been adapted into the actuarial assessment preserving the plainness in the interpretation of the numerical results. The paper offers a practical implementation of the new approach in the case of a specific contract, containing itself innovative profiles: It concerns a life annuity in which the installments are scaled by a demographic index and contains an embedded option linked to the financial profit participating quota. It is a new life product linked at the same time to the financial and demographic volatility. The product project is studied in its profitability performance assuming stochastic hypotheses for the financial and demographic systematic risks. The indexes are implemented in a conditional quantile simulated framework and tables and graphs illustrate their trends as function of time. The results give an example of the usefulness of the proposed indexes in the phase of decisions about the product design feasibility. Moreover some suggestions concerning the consumer's perception of the contract profitability are obtained by means of a utility-equivalent fixed annuity.

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Annuities and Other Retirement Products

Cited by 26 publications

References 0 publications

Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities

Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities

Personal Pensions with Risk Sharing. Affordable, Adequate and Stable Private Pensions in Europe

Measuring Risk-Adjusted Performance and Product Attractiveness of a Life Annuity Portfolio

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