IDEAS home Printed from https://ideas.repec.org/a/cup/bracjl/v14y2008i02p327-389_00.html
   My bibliography  Save this article

Variable Annuities

Author

Listed:
  • Ledlie, M. C.
  • Corry, D. P.
  • Finkelstein, G. S.
  • Ritchie, A. J.
  • Su, K.
  • Wilson, D. C. E.

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.

Suggested Citation

  • Ledlie, M. C. & Corry, D. P. & Finkelstein, G. S. & Ritchie, A. J. & Su, K. & Wilson, D. C. E., 2008. "Variable Annuities," British Actuarial Journal, Cambridge University Press, vol. 14(2), pages 327-389, July.
    • Handle: RePEc:cup:bracjl:v:14:y:2008:i:02:p:327-389_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1357321700001744/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017. "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers 1705.03787, arXiv.org, revised May 2017.
    2. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 14(4), pages 392-413, August.
    3. Luo, Xiaolin & Shevchenko, Pavel V., 2015. "Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 5-15.
    4. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
    5. Gan, Guojun & Valdez, Emiliano A., 2017. "Modeling partial Greeks of variable annuities with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 118-134.
    6. Shevchenko, Pavel V. & Luo, Xiaolin, 2017. "Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 104-117.
    7. Yang, Sharon S. & Dai, Tian-Shyr, 2013. "A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 231-242.
    8. Bacinello, Anna Rita & Millossovich, Pietro & Olivieri, Annamaria & Pitacco, Ermanno, 2011. "Variable annuities: A unifying valuation approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 285-297.
    9. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:bracjl:v:14:y:2008:i:02:p:327-389_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/baj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.