The Impact of Management Fees on the Pricing of Variable Annuity Guarantees

The Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market. Management fees andguarantee insurance fees are charged respectively for the market exposure an...

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Bibliographic Details
Main Authors: Jin Sun, Pavel V. Shevchenko, Man Chung Fung
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
pricing
variable annuity guarantees
management fees
dynamic programming
Online Access:http://www.mdpi.com/2227-9091/6/3/103

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