Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 42 for “"Annuity"”.
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Variable Annuity -- Laps Behavior
… behavior, leading to more accurate pricing of annuity guarantees. The utility-based model, supported by real-world data calibration, shows superior predictive power, suggesting that it could be a valuable tool for insurers in managing the risks associated with variable annuity products. The …
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Essays on annuity valuation, bequests and Social Security
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1998.
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Variable annuity guaranteed lifetime withdrawal benefit and decentralized insurance
… mainly consider two aspects related to variable annuity guaranteed lifetime withdrawal benefit and peer-to-peer risk sharing. In the first part of this thesis, we study the variable annuity with guaranteed benefits. We model the guaranteed lifetime withdrawal benefit (GLWB) with step-up and …
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ANALYSIS OF FACTORS INFLUENCING THE PARTICIPATION RATE OF ENTERPRISE ANNUITY
… to improve the participation rate of enterprise annuity, it is of great significance to solve the problem of insufficient funds of enterprise annuity from the aspect of supply. Based on this, this dissertation conducts detailed research, focusing on the impact of relevant factors on the …
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Valuation and Risk Measurement of Guaranteed Annuity Options under Stochastic Environment
This thesis develops stochastic modelling frameworks for the accurate pricing and risk management of complex insurance products with option-embedded features. We propose stochastic models for the evolution of the two main risk factors, the interest rate and mortality rate, which could also have a …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… the impact of nonlinearity and correlation on an annuity product. A regime-switching approach to address nonlinearity is embedded both in the Lee-Carter model for mortality rate modelling and prediction, and in the Vasicek model for capturing interest-rate movements. In the valuation and …
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Surrogate Model Assisted Nested Simulation with Applications to Variable Annuity Portfolio Valuation and Hedging
Variable annuities (VAs) are equity-linked annuities with embedded investment guarantees. Their long-term security and tax deferred features have made them one of the major insurance products in the world. Nowadays, many insurance companies are managing large VA portfolios that contain hundreds of …
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Life Annuities under Random Rates of Interest.
… present values. In particular we will examine an annuity-due of <em>k</em> yearly payments of 1. Then we will consider an increasing annuity-due of <em>k</em> yearly payments of 1, 2, ⋯ , <em>k</em>. And finally, we examine a decreasing annuity-due of <em>k</em> yearly payments of <em>n</em>, …
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Retirement income, bequests, and insurance : implications of mortality risk in a stochastic life cycle model
… private pension plans. the purchase of private annuity contracts is relatively rare. This paper explores the issues associated with this "Annuity Puzzle" using the framework of a life cycle model of consumption, extended to account for mortality uncertainty. Chapter 1 empirically examines …
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Ruin Probabilities with Dependent Forces of Interest.
<p>In this thesis, annuity-due and annuity-immediate discrete time risk models are introduced and ruin probabilities in these two models under dependent forces of interest are discussed. Recursive and integral equations for these ruin probabilities are given. Inequalities for the ruin probability …
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Stochastic analysis of longevity and investment risk in the context of life annuities
… are used to consider the distribution of the annuity cost, as well as the more often quoted point estimates. A theoretical extension of the use of the entropy measure applied in population biology by Demetrius (1976) has been developed to measure the effect of a proportionate change in the …
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Longevity Risk: Retirement Product Innovation and Risk Management Strategies
… and functional disability risks in a pooled annuity fund using multi-state models of functional disability and health status. We make two contributions to the literature. First, we propose a theoretical framework for pooling mortality risk across multiple health states. Second, as a practical …
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The impact of behavioral factors on annuitisation decisions and decumulation strategies
… demand. A common solution is buying an immediate annuity; however the immediate annuity market has long been experiencing low demand. Another solution is following a safe drawdown rate during retirement; however this exposes retirees to the risk of outliving their pension savings. In recent years, …
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Three essays on consumer finance
… more than 60% of retirees purchasing a private annuity. In contrast, less than 5% of US retirees purchase annuities, despite theoretical predictions that annuity value is high. Annuities in Chile are sold through a unique government-run exchange which decrease search costs and intensifies …
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Essays on identification and semiparametric econometrics
… welfare cost of adverse selection in the U.K. annuity market. We develop a model of annuity contract choice and estimate it using data from the U.K. annuity market. The model allows for private information about mortality risk as well as heterogeneity in preferences over different contract …
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Economics of Managing Loblolly Pine Plantations for Increased Wildlife Biodiversity
… worth, land expectation value, and equal annual annuity. These economic analyses demonstrated that altering management regimes towards increased biodiversity and charging a yearly lease rate could result in equal annual annuity profits of $1.52 to $88.83 per year per acre, depending on ARR and …
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On intrinsic ultracontractivity of perturbed Levy processes and applications of Levy processes in actuarial mathematics
… management problem of certain exotic variable annuity products. In particular, we consider two variable annuity products with guaranteed benefits, the Guaranteed Minimum Accumulation Benefit (GMAB) and the Guaranteed Minimum Withdrawal Benefit (GMWB). For the first one, we develop efficient …
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Three Pension Cost Methods under Varying Assumptions
… cost under three cost methods using different annuity, interest and inflation assumptions. Then we make comparisons between cost methods as well as between assumption changes. The cost methods considered in this paper are the unit credit cost method, projected unit credit cost method, and the …
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Retirement Annuities: Optimization, Analysis and Machine Learning
… the United States. Even though a deferred income annuity (DIA) purchased while saving for retirement can pay aguaranteed stream of income for life, practically serving as a pension substitute, several questions arise. Our main contribution is answering the question of purchasing DIAs under the …
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