时 间:2021年12月6日(周一)10:00-12:00
地 点:腾讯会议:710 860 511
题 目:High-water mark fee structure in variable annuities
主讲人:王于岷 加拿大曼尼托巴大学助理教授
主持人:陈律 助理教授
摘 要:
We propose a novel high-water mark fee structure and investigate its impact on the marketability of variable annuities. To evaluate the welfare effects of holding a variable annuity, we adopt mean-variance analysis. By also examining the welfare effects of holding two alternative investments, we introduce a quantitative measure, namely a compatible set of risk aversions, to assess the marketability of the variable annuity under a certain fee structure. Comparing the compatible sets and the welfare effects of holding the variable annuity under the high-water mark fee structure with those under a constant and a state-dependent fee structure, we find that the high-water mark fee structure improves the variable annuity's marketability in two aspects: First, it makes the variable annuity preferable to the alternative investments for a broader range of policyholders. Second, when the variable annuity is preferred over the alternative investments, it produces the highest welfare for the policyholder.
报告人简介:
Dr. Yumin Wang is an assistant professor in the Warren centre for actuarial studies and research at the University of Manitoba. His research focuses on the impact of market incompleteness and market friction on variable annuities which are an equity-linked investment and savings vehicle. Particularly, his recent projects investigate optimal policyholder behavior and product design for variable annuities.