February 14, 2025
1:30PM
-
2:30PM
Math Building (MA) 105
Add to Calendar
2025-02-14 14:30:00
2025-02-14 15:30:00
Actuarial Science Event - Yumin Wang
Yumin WangUniversity of ManitobaTitleRisk-Sharing Pricing of Variable Annuities within a Principal-Agent FrameworkAbstractWe propose a new risk-sharing pricing approach for variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a surrender penalty or a lower insurance fee can make the insurer’s expected profit more robust.For More Information About the Seminar
Math Building (MA) 105
OSU ASC Drupal 8
ascwebservices@osu.edu
America/New_York
public
Date Range
2025-02-14 13:30:00
2025-02-14 14:30:00
Actuarial Science Event - Yumin Wang
Yumin WangUniversity of ManitobaTitleRisk-Sharing Pricing of Variable Annuities within a Principal-Agent FrameworkAbstractWe propose a new risk-sharing pricing approach for variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a surrender penalty or a lower insurance fee can make the insurer’s expected profit more robust.For More Information About the Seminar
Math Building (MA) 105
America/New_York
public
Yumin Wang
University of Manitoba
Title
Risk-Sharing Pricing of Variable Annuities within a Principal-Agent Framework
Abstract
We propose a new risk-sharing pricing approach for variable annuities within a principal-agent framework where an insurer (principal) is the contract provider and a policyholder (agent) is the follower having the surrender option. While the risk-neutral pricing approach adopted in the existing literature leads to significantly higher fees and more frequent surrendering than market observations, this new risk-sharing pricing approach reconciles the misalignment between theoretical results and market observations. We also find that a surrender penalty or a lower insurance fee can make the insurer’s expected profit more robust.
