187 research outputs found
Life Annuities Are Rarely Appreciated - Even by Financial Advisors
As you get closer to retirement, make sure you understand your options and the role annuities might play in your financial plan.York's Knowledge Mobilization Unit provides services and funding for faculty, graduate students, and community organizations seeking to maximize the impact of academic research and expertise on public policy, social programming, and professional practice. It is supported by SSHRC and CIHR grants, and by the Office of the Vice-President Research & Innovation.
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How to Build a Modern Tontine
This open access book introduces the modern tontine and its applications in retirement and decumulation. Personal financial management in the later stages of life presents unique challenges, and renowned retirement planning expert Dr. Milevsky proposes the modern tontine as a solution. With the goal of guiding professionals and retirees in more efficient decumulation, the book demonstrates how to build a modern tontine. It is technically oriented, employing a cookbook format, featuring R code, and examining retirement planning through a statistical lens. This how-to guide, which is a sequel to his 2020 book “Retirement Income Recipes in R”, will be invaluable for retirement planning professionals and advisors, as well as for PhD scholars in retirement planning, quantitative finance, and related fields. This book is open access
Valuation and hedging of the ruin-contingent life annuity (RCLA)
This paper analyzes a novel type of mortality contingent-claim called a
ruin-contingent life annuity (RCLA). This product fuses together a
path-dependent equity put option with a "personal longevity" call option. The
annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income
per year for life, akin to a defined benefit pension, but deferred until a
pre-specified financial diffusion process hits zero. We derive the PDE and
relevant boundary conditions satisfied by the RCLA value (i.e. the hedging
cost) assuming a complete market where No Arbitrage is possible. We then
describe some efficient numerical techniques and provide estimates of a typical
RCLA under a variety of realistic parameters.
The motivation for studying the RCLA on a stand-alone basis is two-fold.
First, it is implicitly embedded in approximately \$1 trillion worth of U.S.
variable annuity (VA) policies; which have recently attracted scrutiny from
financial analysts and regulators. Second, the U.S. administration - both
Treasury and Department of Labor - have been encouraging Defined Contribution
(401k) plans to offer stand-alone longevity insurance to participants, and we
believe the RCLA would be an ideal and cost effective candidate for that job
Insurance Providers May Be Making Promises That They Can't Afford to Keep, with the Latest Generation of Retirement Income Products
Corporations, governments, and insurance companies may be underestimating the financial risks of the new generation of personal pension and retirement income products. Insurance providers may not be charging consumers enough, when you consider the long-term guarantees and promises embedded within these products.York's Knowledge Mobilization Unit provides services and funding for faculty, graduate students, and community organizations seeking to maximize the impact of academic research and expertise on public policy, social programming, and professional practice. It is supported by SSHRC and CIHR grants, and by the Office of the Vice-President Research & Innovation.
[email protected]
www.researchimpact.c
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