A Managed Volatility Investment Strategy for Pooled Annuity Products
| Autor: | Michael Sherris, Shuanglan Li, Héloïse Labit Hardy, Andrés M. Villegas |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Rate of return
Actuarial science Longevity risk Investment strategy Strategy and Management Financial risk Economics Econometrics and Finance (miscellaneous) Life annuity Downside risk pooled annuity equity investment managed volatility longevity risk Accounting Economics Volatility (finance) Investment performance health care economics and organizations |
| Zdroj: | Risks; Volume 10; Issue 6; Pages: 121 |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3455806 |
| Popis: | Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed interest returns is relatively unexplored. Incorporating equity investments has the potential to increase expected annuity payments at the expense of higher variability. We propose and assess a strategy for incorporating equity investments along with managed-volatility for pooled annuity funds. We show how the managed volatility strategy improves investment performance, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure to investment risk over time. We quantify the impact of pool size when equity investments are included, showing how these products are viable with relatively small pool sizes. |
| Databáze: | OpenAIRE |
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