In the Lee-Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, Value-at-Risk or Conditional Tail Expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in...

Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. We consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate risk. Since discrete hedging and the underlying model considered lead to an incomplete market, we compute hedging strategies ...

Abstract Evidence shows that people have difficulty understanding complex aspects of retirement planning, which leads them to under-utilize annuities and claim Social Security benefits earlier than is optimal. To target this problem, we developed vignettes about the consequences different annuitization claiming decisions. We evaluated our using an experiment with a representative online panel n...