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01404nam a2200205Ia 4500 |
| 001 |
10.1016-j.insmatheco.2019.01.010 |
| 008 |
220511s2019 CNT 000 0 und d |
| 020 |
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|a 01676687 (ISSN)
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| 245 |
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|a Affordable and adequate annuities with stable payouts: Fantasy or reality?
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| 260 |
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|b Elsevier B.V.
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1016/j.insmatheco.2019.01.010
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|a This paper introduces a class of unit-linked annuities that extends existing annuities by allowing portfolio shocks to be gradually absorbed into the annuity payouts. Consequently, our new class enables insurers to offer an affordable and adequate annuity with a stable payout stream. We show how to price and adequately hedge the annuity payouts in a general financial environment. In particular, our model accounts for various stylized facts of stock returns such as asymmetry and heavy-tailedness. Furthermore, the generality of our framework makes it possible to explore the impact of a parameter misspecification on the annuity price and the hedging performance. © 2019 Elsevier B.V.
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|a Buffering of portfolio shocks
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|a General financial market
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|a Model risk
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|a Risk management framework
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|a Unit-linked annuities
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| 700 |
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|a Linders, D.
|e author
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|a van Bilsen, S.
|e author
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| 773 |
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|t Insurance: Mathematics and Economics
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