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AuthorRuez, Frederikdc.contributor.author
Date of accession2017-07-05T08:28:03Zdc.date.accessioned
Available in OPARU since2017-07-05T08:28:03Zdc.date.available
Year of creation2017dc.date.created
Date of first publication2017-07-05dc.date.issued
AbstractVariable annuities are unit-linked life insurance contracts where typically an initial investment amount is invested in one or several mutual funds. On top of this basic structure, certain guarantee riders are offered by the insurer, adding different types of financial protection to the contract. Therefore, variable annuities allow policyholders to benefit from the upside potential of the underlying fund investment and, at the same time, offer some kind of protection when the fund loses value. From a risk manager’s perspective, the complexity of the guarantees offered within variable annuities also means that there are several main risks that need to be managed at the same time, including financial risk, behavioral risk, biometric risk, and regulatory risk. These risks are accompanied by a variety of additional risks that come with most insurance contracts (e.g. operational and reputational risk) and are amplified by the usually very long term of annuity contracts. In this thesis, the following research questions are addressed: (1) From a variable annuity provider's perspective, how does policyholder behavior impact the risk profile (before and after hedging) of a pool of variable annuities with guaranteed lifetime withdrawal benefit (GLWB) riders under different assumptions regarding the product design of the GLWB riders? (2) What is the impact of regulator-imposed guaranteed minimum surrender benefits on the risk profile of existing contracts and how are new contracts affected? (3) How do the risk profile and the impact of mandatory guaranteed minimum surrender benefits change if institutional investors buy contracts from policyholders who are willing to surrender their contract? (4) How do risk-based capital requirements for a pool of variable annuities with GLWB riders change depending on the market environment and the level of recognition of the actual hedging program?dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
Articles in publ.Kling, A., Ruez, F. and Ruß, J., 2014. The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities. European Actuarial Journal, 4(2), pp. 281–314. DOI: 10.1007/s13385-014-0093-0. The final publication is available at link.springer.com https://link.springer.com/article/10.1007/s13385-014-0093-0dc.relation.haspart
Articles in publ.Kling, A., Ruez, F. and Ruß, J., 2017. Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees. To appear in European Actuarial Journal. DOI: 10.1007/s13385-017-0156-0. The final publication is available at link.springer.com https://link.springer.com/article/10.1007/s13385-017-0156-0dc.relation.haspart
LicenseStandarddc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v3dc.rights.uri
KeywordRisikomanagementdc.subject
KeywordVariable annuitiesdc.subject
KeywordGuaranteed lifetime withdrawal benefitsdc.subject
KeywordBehavioral rsikdc.subject
KeywordHedge performancedc.subject
KeywordRisk-based capital requirementsdc.subject
KeywordStochastic interest ratesdc.subject
KeywordStochastic equity volatilitydc.subject
Dewey Decimal GroupDDC 330 / Economicsdc.subject.ddc
LCSHPricingdc.subject.lcsh
LCSHHedging (Finance)dc.subject.lcsh
LCSHSecondary marketsdc.subject.lcsh
LCSHAnnuitiesdc.subject.lcsh
LCSHInterest ratesdc.subject.lcsh
TitleRisk management of variable annuitiesdc.title
Resource typeDissertationdc.type
Date of acceptance2017-05-02dcterms.dateAccepted
RefereeZwiesler, Hans-Joachimdc.contributor.referee
RefereeRuß, Jochendc.contributor.referee
DOIhttp://dx.doi.org/10.18725/OPARU-4415dc.identifier.doi
PPN893639508dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-oparu-4454-5dc.identifier.urn
GNDRisikomanagementdc.subject.gnd
GNDGrundrentedc.subject.gnd
GNDPreisbildungdc.subject.gnd
GNDHedgingdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
InstitutionInstitut für Versicherungswissenschaftenuulm.affiliationSpecific
Shelfmark print versionW: W-H 15.152uulm.shelfmark
Grantor of degreeFakultät für Mathematik und Wirtschaftswissenschaftenuulm.thesisGrantor
DCMI TypeTextuulm.typeDCMI
TypeErstveröffentlichunguulm.veroeffentlichung
CategoryPublikationenuulm.category
University Bibliographyjauulm.unibibliographie


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