|
|
|
AFIR-ERM Webinar &
Call for Research
Join us in our upcoming webinar
on:
Target Volatility Strategies for
Group Self-Annuity Portfolios
|
|
|
|
17 January 2024
10:00 CET| 18:00 JST|
20:00AEDT
|
|
|
|
While the current pandemic is causing mortality shocks globally,
the management of longevity risk remains a major challenge for both
individuals and institutions. It is high time there be private
market solutions designed for efficient longevity risk transfer
among various stakeholders such as individuals, pension funds and
annuity providers. From individuals' point of view, appealing
features of post-retirement solutions include stable and
satisfactory benefit levels, flexibility, meeting bequest
preferences and low fees. This paper proposes a dynamic target
volatility strategy for group self-annuitization (GSA) schemes
aimed at enhancing living benefits for pool participants. More
specifically, we suggest investing GSA funds in a portfolio
consisting of equity and cash, continuously rebalanced to maintain
a target volatility level. The performance of a dynamic target
volatility strategy is assessed against the static case which does
not involve portfolio rebalancing. Benefit profiles are assessed by
analysing quantiles and alternative strategies involving varying
equity compositions. The case of death benefits is included, and
the fund dynamics analysed by assessing resulting investment
returns and the mortality credits. Overall, higher living benefit
profiles are obtained under a dynamic target volatility strategy.
From the analysis performed, a trade-off between the equity
proportion and the impact on the lower quantile of the living
benefit amount emerges, suggesting an optimal proportion of equity
composition.
|
|
|
| |
|
AFIR-ERM Call for Research
|
|
|
|
The AFIR-ERM Section of the International Actuarial Association
(IAA) has as its primary objective the promotion of actuarial
research in enterprise risk management and particularly financial
risk fields, to push forward the boundaries of actuarial knowledge
and to promote and facilitate an international exchange of views,
advice, research and practical information among actuaries and
other experts involved in these fields. The AFIR-ERM Section is
thus pleased to announce research grants to fund new original
research leading to a research paper on innovations in this field
in general and particularly on digital innovation in actuarial
science. Proposal submissions are due by February 1, 2024 and must
be submitted in the English language. Authors should submit
proposals, including the title, a short description of the topic(s)
to be addressed, the approach that will be taken (e.g. literature
search, model, etc.), emphasizing issues that require special
consideration and a statement that the research has not been
published and is not being considered for publication at the moment
of submission. At least one of the authors has to be a member of
the AFIR-ERM Section prior to the date of the
submission.
Full details of the Call for Research and submission guidelines
are available here
Submissions should be sent via e-mail to the AFIR-ERM Section of
the IAA: AFIR.research@actuaries.org |
|
|
|
|
|
|
