文章基本信息

标题：A Managed Volatility Investment Strategy for Pooled Annuity Products
本地全文：下载
作者：Shuanglan Li ; Héloïse Labit Hardy ; Michael Sherris 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2022
卷号：10
期号：6
页码：121
DOI：10.3390/risks10060121
语种：English
出版社：MDPI, Open Access Journal
摘要：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.