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Actuarial and Economic Aspects of Product Innovation in Variable Annuities.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Actuarial and Economic Aspects of Product Innovation in Variable Annuities./
作者:	Jing, Xiaochen.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	110 p.
附註:	Source: Dissertations Abstracts International, Volume: 83-03, Section: A.
Contained By:	Dissertations Abstracts International83-03A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28652572
ISBN:	9798535515892

Actuarial and Economic Aspects of Product Innovation in Variable Annuities.
Jing, Xiaochen.

Actuarial and Economic Aspects of Product Innovation in Variable Annuities. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 110 p.

Source: Dissertations Abstracts International, Volume: 83-03, Section: A.

Thesis (Ph.D.)--The University of Wisconsin - Madison, 2021.

This item must not be sold to any third party vendors.

Variable Annuities (VAs) are innovative retirement products sold by insurers. My dissertation studies actuarial and economic aspects of product heterogeneity in VAs. I use textual analysis to construct a VA product dataset from real contracts. Based on this dataset, I investigate two research questions that contribute to two different fields of study. On the economic side, I investigate the drivers of the frequent innovation and complex product design in the VA market. More specifically, using my dataset of real VA contracts, I establish a recurring patterns in benefit-specific markets, where more fundamental innovations are followed by products in the same category of increasing complexity. I argue this pattern points to a coexistence of "virtuous" and "obfuscating" innovation in the VA market, with the former offering previous unavailable risk management tools to consumers and completing retail retirement markets, and the latter increasing complexity to exploit unsophisticated consumers.On the actuarial side, I examine metamodeling approaches for VA portfolio evaluation using a subset of my data. More specifically, I extract payoff-relevant information from the textual descriptions for VAs with Guaranteed Minimum Accumulation Benefits, and develop a flexible simulation-based valuation framework. I examine the accuracy and efficiency of metamodeling methods with different sampling and learning components. I find that larger training samples and more sophisticated learners help with prediction accuracy at the cost of longer runtimes. In contrast to previous literature, sampling methods do not have a significant effect on the overall performance in my setting.Overall, this dissertation provides insights related to product diversity in the VA market that are relevant to consumers, insurers, and policymakers. For consumers, instead of shopping for the cheapest deal, it is important to understand one's own risk profile and choose a suitable product accordingly. For insurers, metamodeling presents a viable evaluation approach for the analysis of real-world VAs at the portfolio level, although the performance for accurately valuing individual contracts is frail. For policymakers concerned with regulating complexity in retirement products, contract standardization may be a double-edge sword: while it can help mitigate "obfuscating" innovation, it also may stifle "virtuous" innovation at the same time.

ISBN: 9798535515892Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Actuarial science

Actuarial and Economic Aspects of Product Innovation in Variable Annuities.
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