Paper solves annuity pricing puzzle by minimizing risk.
problem Inconsistency between theory and empirical observations in annuities pricing.
method Risk minimization approach to price annuities for both producer and customer.
result Different pricing solutions for annuity price and rate of payments.
Investigates optimal life insurance and annuity decisions in inflationary economies.
problem Optimal consumption and investment decisions in an inflationary economy with money illusion.
method Formulated as a random horizon utility maximization problem, derived optimal strategy.
result Money illusion increases life insurance demand for young adults and reduces annuity demand for retirees.
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its value. Ruin occurs when the total of the value of the risky and riskless assets and t…
Paper proposes decentralized annuities for better retirement security.
problem Current pension systems' limitations and fairness issues.
method Theoretical models and fairness concepts analysis.
result Decentralized annuities offer enhanced flexibility and social welfare.
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a …
Derives measure changes for pricing midcurve swaptions.
problem Pricing midcurve swaptions in a forward swap annuity measure.
method Derives measure change formulae and constructs linear and exponential terminal swap rate models.
result Captures midcurve swaption correlation skew.
The paper analyzes GMWB annuities in low interest rate environments.
problem Valuation of GMWB annuities in low interest rate conditions.
method Dynamic programming and Hull-White interest rate model.
result Low interest rates increase the fair value of GMWB annuities.
New puzzles from geometry and topology.
problem Exploring puzzles from geometric and topological concepts.
method Construction from square-tiled shapes, discussion of underlying mathematics.
result Puzzles naturally associated to puzzle spaces.
We analyze higher-dimensional sliding puzzles, finding solvability patterns.
problem Solvability of higher-dimensional cubical sliding puzzles.
method Study of puzzle graphs and token movement constraints.
result Characterization of solvability regimes from stuck to fully solvable.
Study proposes a new model for joint survival annuity valuation.
problem Valuation of joint survival annuities and options.
method Linear-rational Wishart mortality model based on stochastic matrix affine process.
result Derives closed-form expression for joint survival annuity and option.
The paper studies optimal annuity purchase timing under uncertain mortality forces.
problem Optimal timing to purchase an annuity with uncertain mortality forces.
method Formulated as a real option, probabilistic study with new solution methods.
result Detailed probabilistic study of the optimal stopping boundary.
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rated when the policy matures. Both …
Deep neural network predicts puzzle piece adjacency.
problem Jigsaw puzzle assembly accuracy.
method Deep learning model trained on pixel data.
result Significant improvement in puzzle assembly accuracy.
Model resolves asset pricing puzzles with price-impact.
problem Asset pricing puzzles like interest rate, stock-price volatility, and equity premium.
method Closed-form equilibrium model with exponential investors trading continuously and experiencing price-impact.
result Price-impact amplifies risk-sharing distortions, resolving puzzles.
Open geometry puzzles keep the author engaged.
problem Open problems in geometry that challenge the author.
method Collection of open problems based on puzzle-charm.
result No spare hands in solving the problems.
The paper examines variable annuities pricing and risk management using the Black-Scholes model and identifies key risk drivers.
problem Model risk in pricing and managing variable annuities using the Black-Scholes model.
method Derives a model-free decomposition of variable annuity prices and investigates hedging strategies.
result The spot price risk can always be eliminated by the BS-based hedging strategy, but there is gradual slippage and instantaneous leakage.
New distribution resolves excess volatility puzzle in finance.
problem Excess volatility in equity prices not explained by rational finance theory.
method Empirical analysis of historical returns using a new distribution.
result Volatility puzzle disappears when using a more appropriate return distribution.
The paper offers a new model for variable annuities with surrender risk.
problem Modeling variable annuities with surrender risk and market consistency.
method Hybrid model with Lévy processes, time-inhomogeneous, and dependence between financial and surrender risks.
result Explicit analytical formulas and practical numerical procedures for variable annuity valuation.
In this article we prove the impossibility of some disentanglement puzzles, first building mathematical models that reflect the essential characteristics of these puzzles.
Global existence of equilibrium in incomplete market with stochastic annuity.
problem Proving existence of equilibrium in an incomplete market with stochastic annuity.
method Characterized by fully coupled quadratic backward stochastic differential equations, existence proved under Markovian assumptions.
result Global existence of an incomplete, continuous-time finite-agent Radner equilibrium.
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pen…
Analyzes how many people can receive stable income in a pooled annuity fund.
problem Quantifying the trade-off between income stability and the number of members in a pooled annuity fund.
method Investment returns held constant, systematic longevity risk omitted. Derived an analytical expression for income stability.
result The number of fund members who receive stable income is independent of the mortality model.
Existence of Radner equilibrium proven with growing population.
problem Analyzing Radner equilibrium in a model with population growth.
method Proved existence of equilibrium for growing population using mathematical analysis.
result Equilibrium exists for a growing population, with effects on annuity prices.
Research examines GMIB and reset options in variable annuities.
problem Understanding the value and rationality of GMIB and reset options.
method Exploration of various parameters affecting GMIB value and calculation of critical future interest rates for reset option rationality.
result Insight into how future market performance and interest rates influence policyholder and insurer actions.
Examines how longevity risk pooling affects retirees' valuation of annuities.
problem Determines if and how retirees benefit from pooling longevity risk.
method Combines economics of annuity equivalent wealth with actuarial models of aging.
result Retirees with higher relative mortality place higher value on annuities.
Paper presents deep LSMC method for efficient variable annuity pricing.
problem Efficiently pricing variable annuities with guarantees using simulation methods.
method Modifies least-squares Monte Carlo (LSMC) algorithm for optimal stochastic control problems.
result Deep LSMC provides more stable and robust pricing performance for higher-dimensional problems.
Refundable income annuities offer a money-back guarantee, now the majority of sales.
problem The complexity and market neglect of refundable income annuities.
method Explained the pricing, duration, and money's-worth-ratio of refundable IAs, proving a counterintuitive price behavior.
result The market price of cash-refund IAs is not a declining function of age, and older buyers might pay more than younger ones.
New model solves equity premium puzzle with risk aversion coefficient.
problem Equity premium puzzle in financial markets.
method Developed a new model incorporating investor risk behavior, tested with specific coefficients.
result Validated model with empirical studies, confirming coefficient of 1.033526.
We introduce Quintessence: a family of burr puzzles based on the geometry and combinatorics of the 120-cell. We discuss the regular polytopes, their symmetries, the dodecahedron as an important special case, the three-sphere, and the quaternions. We then construct the 120-cell, giving an illustrated survey of its geome…
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity derivatives, while the full implications and methods …
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is e…
New model solves equity premium puzzle.
problem Equity premium puzzle regarding risk behavior of investors.
method Developed a new tool called the sufficiency factor to analyze risk behavior of investors.
result Validated the new model with a coefficient of relative risk aversion of 1.033526.
Study on pooled annuity funds and how initial savings affect income stability.
problem Analyzing the stability of income payments in pooled annuity funds.
method Examining the influence of initial savings on income fluctuations and developing a criterion for pooling funds.
result Identification of a term, the 'implied number of homogeneous members', linking initial savings to income fluctuations.
The paper values variable annuities using complex stochastic models and deep learning.
problem Valuation of variable annuities with early surrender options under non-Markovian models.
method Developed a deep signature Least Squares Monte Carlo approach to handle path-dependent continuation values.
result Fair fees increase with Hurst parameters of stock volatility and mortality force.
This paper examines how taxation and stochastic interest rates affect GMWB Variable Annuities.
problem Improving the financial cost and withdrawal dynamics of GMWB Variable Annuities.
method Developed a numerical framework to compute fair value of GMWB contracts, accounting for taxation and stochastic interest rates.
result Accounting for both taxation and stochastic interest rate significantly impacts GMWB withdrawal strategy and cost.
In his stimulating article on the reasons for two puzzling observations about the behaviour of interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an explanation that rests on the concept of a non-pecuniary liquidity return on assets. Albeit intriguing the analysis struggles to a…
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of…
Algorithm finds characteristic maps over complex shapes.
problem Finding non-singular characteristic maps over wedged simplicial complexes.
method Constructive puzzle algorithm based on linear algebra.
result Algorithm performs well compared to other methods.
Deep learning solves jigsaw puzzles by classifying fragment positions.
problem Automated reconstruction of archaeological fragments from jigsaw puzzles.
method Classifies relative positions of fragments using deep neural networks and local feature co-occurrences.
result Our method outperforms state-of-the-art by 25%.
The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.
problem Analyzing Variable Annuities with surrender charges and early termination rights.
method Formulated as an optimal stopping problem with a discontinuous payoff, non-monotonic optimal stopping boundaries are proven continuous and regular.
result A rigorous pricing formula and optimal exercise boundary for surrender options are derived.
Novel pricing method for equity-indexed annuities under uncertain volatility and stochastic interest rate.
problem Pricing equity-indexed annuities with early surrender risk under uncertain market conditions.
method Advanced financial modeling techniques, including uncertain volatility framework and Hull-White model for interest rate dynamics. Numerical algorithm using tree-based framework with local volatility optimization.
result High effectiveness of the proposed numerical algorithm compared to machine learning-based methods.
Enhances valuation of variable annuities with stochastic interest rate models.
problem Valuation and optimal surrender strategies for variable annuities in Lévy models.
method Hybrid numerical method combining tree methods for interest rate modeling and finite difference techniques for asset price.
result Influence of stochastic interest rates on surrender decisions and contract design.
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatil…
The paper resolves behavioral finance objections to rational finance theory.
problem Predictability of asset returns, Equity Premium, Volatility Puzzle.
method Statistical models within rational finance theory.
result Offers resolutions to behavioral finance anomalies.
Proposes GLWB-LTC for enhanced life care annuities with dynamic withdrawal strategies and stochastic interest rates.
problem Improving life care annuity features and pricing methods.
method Introduces GLWB-LTC with dynamic withdrawal strategies and stochastic interest rates. Solves the stochastic control problem using a robust tree method.
result Optimal withdrawal strategies vary over time with policyholder's health status, highlighting the advantage of flexibility.
Paper uses Gibbs sampler with jump diffusion for European option pricing.
problem Estimating market parameters for jump diffusion models in option pricing.
method Gibbs sampler applied to jump diffusion model for estimating drift, volatility, jump intensity, and occurrence.
result Demonstrates impact of jump effects on European call option and annuity pricing.
Paper proposes a deep RL method for hedging variable annuities, outperforming misspecified models.
problem Model miscalibration in variable annuity contracts with GMMB and GMDB riders.
method Two-phase deep reinforcement learning approach: training phase in a controlled environment, online learning phase in real market.
result Trained reinforcement learning agent hedges equally well as correct Delta in training phase and outperforms misspecified Deltas.