Insurers sell retail financial products called variable annuities that package mutual funds with minimum return guarantees over long horizons. Variable annuities accounted for $1.5 trillion or 34 percent of U.S. life insurer liabilities in 2015. Sales fell and fees increased after the 2008 financial crisis as the higher valuation of existing liabilities stressed risk-based capital. Insurers als...

We introduce a novel way of modeling the dependence coupled lifetimes, for pricing joint and survivor annuities. Using well-known Canadian data set, our results are analyzed compared with existing literature, mainly relying on copulas. Based urn processes one-factor construction, proposed model is able to improve its performances over time, in line machine learning paradigm, it also allows use ...

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities We develop an index for tracking the dynamic behavior of life (pension) annuity payouts over time, based on the concept of self-annuitization. Our implied longevity yield (ILY) value is de…ned equal to the internal rate of return (IRR) over a …xed deferral period that an individual would have to earn on their investab...

Abstract This paper examines two behavioral factors that diminish people's ability to value a lifetime income stream or annuity, drawing on randomized experiment with about 4,000 adults in U.S. nationally representative sample. We find increasing the complexity of annuity choice reduces respondents' measured by difference between sell and buy values they assign annuity. When we limit narrow bra...

Evidence suggests that predictabilities in asset class returns exist but transactions costs prevent exploiting them using individual securities. Extant research also shows that these relationships may by exploitable through the trading of mutual funds but fails to examine whether this relationship exists within an individual fund family. This paper finds that TIAA/CREF retirement annuities exhi...

In this paper, we offer a new method of managing the risk of unexpected changes in mortality underlying annuities and life insurance. This method maximizes the insurer’s profit margin, subject to constraints on its downside mortality risk. We also show how to determine bounds on mortality margins when information on the moments of the distributions is known. We provide numerical examples to ill...