The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities 2

Research output: Book/ReportReportProfessional

Abstract

In this paper we consider the risk-return tradeoff for variable annuities, focusing on defined contribution retirement facilities in the Dutch institutional setting. In particular, we study the effect of the assumed interest rate. We also consider in detail the consequences of the possibility to smooth financial market shocks over the remaining retirement period. Our analysis is based on an explicit distribution of initial pension wealth over the pension payments at various horizons. We briefly discuss the effects of sharing micro longevity risk.
Original languageEnglish
Place of PublicationTilburg
PublisherNETSPAR
Publication statusPublished - 2017

Publication series

NameNETSPAR Design Paper
Volume81

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Variable annuities
Retirement
Interest rates
Smoothing
Pensions
Risk-return tradeoff
Payment
Longevity risk
Defined contribution
Wealth
Financial markets

Cite this

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abstract = "In this paper we consider the risk-return tradeoff for variable annuities, focusing on defined contribution retirement facilities in the Dutch institutional setting. In particular, we study the effect of the assumed interest rate. We also consider in detail the consequences of the possibility to smooth financial market shocks over the remaining retirement period. Our analysis is based on an explicit distribution of initial pension wealth over the pension payments at various horizons. We briefly discuss the effects of sharing micro longevity risk.",
author = "Anne Balter and Bas Werker",
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The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities 2. / Balter, Anne; Werker, Bas.

Tilburg : NETSPAR, 2017. (NETSPAR Design Paper; Vol. 81).

Research output: Book/ReportReportProfessional

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