M<scp>ULTIPLE</scp> R<scp>EFERENCE</scp> P<scp>OINTS</scp><scp>AND</scp><scp>THE</scp> D<scp>EMAND</scp><scp>FOR</scp> P<scp>RINCIPAL</scp>‐P<scp>ROTECTED</scp> L<scp>IFE</scp> A<scp>NNUITIES</scp>: A<scp>n</scp> E<scp>XPERIMENTAL</scp> A<scp>NALYSIS</scp>

Knoller, Christian

doi:10.1111/jori.12101

Cited by 23 publications

(2 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Likewise for the AROE, the ARG analysis was performed by a simulation procedure for getting the empirical distribution of ARG values for each t, implemented on 10,000 ARG outputs for each value of t. Again in the case of an annuitant aged 65 and the participating quota of 20%, Table 3 shows the values calculated in 0, 5,10,15,20,25,30,35, 40 t = . We report the expected ARG values with the related minimum and maximum and the C-quantiles at 95% and 99%.…”

Section: Numerical Evidence: Aroe and Arg Stochastic Assessment In A mentioning

confidence: 99%

“…The current financial literature is paying increasing attention to the varied world of decision making under uncertainty from the insured's perspective. The many aspects of the question are treated by means of different approaches, which range from the expected utility theory to methodologies of behavioral finance as in [25].…”

Section: Some Considerations About the Insureds' Point Of Viewmentioning

confidence: 99%

See 1 more Smart Citation

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

Lorenzo¹,

Orlando²,

Sibillo³

2017

JMF

View full text Add to dashboard Cite

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.

show abstract

Section: Numerical Evidence: Aroe and Arg Stochastic Assessment In A mentioning

confidence: 99%

Section: Some Considerations About the Insureds' Point Of Viewmentioning

confidence: 99%

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

Lorenzo¹,

Orlando²,

Sibillo³

2017

JMF

View full text Add to dashboard Cite

show abstract

Life Annuity Portfolios: Risk-Adjusted Valuations and Suggestions on the Product Attractiveness

D’Amato

Lorenzo

Orlando³

et al. 2018

Demography and Health Issues

View full text Add to dashboard Cite

Optimal investment and consumption when allowing terminal debt

Chen

Vellekoop

2017

European Journal of Operational Research

View full text Add to dashboard Cite

We analyze a dynamic optimization problem which involves the consumption and investment of an investor with constant relative risk aversion for consumption but with a risk aversion for final wealth which does not necessarily imply that terminal wealth must always be positive. We require risk aversion for terminal wealth to be positive but not monotone: there is a point of maximal risk aversion at zero wealth and the investor may continue to consume when wealth is negative. Using dual optimization methods we can derive explicit solutions and we find that the optimal solution differs in a fundamental way from the case where risk aversion is monotone. It turns out that the optimal consumption function is convex and concave at different wealth levels and that the optimal investment strategy may no longer be monotone as a function of the remaining time to invest and consume.

show abstract

MULTIPLE REFERENCE POINTSANDTHE DEMANDFOR PRINCIPAL‐PROTECTED LIFE ANNUITIES: An EXPERIMENTAL ANALYSIS

Cited by 23 publications

References 40 publications

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

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

Life Annuity Portfolios: Risk-Adjusted Valuations and Suggestions on the Product Attractiveness

Optimal investment and consumption when allowing terminal debt

Contact Info

Product

Resources

About