Article2008

Variable Annuities

M. C. Ledlie · D. P. Corry · G. S. Finkelstein · A. J. Ritchie · K. Su · D. C. E. Wilson

76 citations0/0 files storedBritish Actuarial Journal

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Insurance and Financial Risk Management Financial Literacy, Pension, Retirement Analysis Insurance, Mortality, Demography, Risk Management

Abstract

ABSTRACT This paper provides a detailed overview of variable annuities. Consideration is given first to the definition of the term variable annuity. Common terminology used in the variable annuity market is introduced. The current state of the United Kingdom and other international markets is described. Then, by reference to a simplified product, an analysis of customer outcomes, pricing, reserving, risk management and hedging is carried out. The paper ends with a description of current U.K. pensions legislation and how it potentially constrains product development.

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References

1973The Pricing of Options and Corporate Liabilities 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1952Review of the Principles of Life-office Valuations 2007Market-Valuation Methods in Life and Pension Insurance 2003Pricing and hedging guaranteed annuity options via static option replication

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