Browsing by Author "Ulm, Eric"
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Item Restricted ACTS201: Actuarial Science: Financial Mathematics(2018) Ulm, EricItem Restricted ACTS301: Actuarial Science: Actuarial Science(2019) Ulm, EricItem Restricted ACTS301: Actuarial Science: Actuarial Science(Te Herenga Waka—Victoria University of Wellington, 2023) Ulm, EricItem Restricted ACTS336: Actuarial Science: General Insurance Techniques(2019) Ulm, EricItem Restricted ACTS336: Actuarial Science: General Insurance Techniques(Te Herenga Waka—Victoria University of Wellington, 2023) Ulm, EricItem Restricted ACTS501: Actuarial Science: Actuarial Control Cycle I(Te Herenga Waka—Victoria University of Wellington, 2024) Ulm, EricItem Restricted ACTS503: Actuarial Science: Data Science for Actuaries(Te Herenga Waka—Victoria University of Wellington, 2024) Ulm, EricItem Open Access Analytic Valuation of GMDB Options with Utility Based Asset Allocation(Te Herenga Waka—Victoria University of Wellington, 2020) Ulm, EricA number of analytic solutions have been found for Variable Annuity Guaranteed Minimum Death Benefit (GMDB) option values under a variety of mortality laws. To date, the solutions are for Risk-Neutral valuation only. Where policyholder decisions are allowed, it is assumed that they act to maximize the risk-neutral value of the GMDB. We examine situations where the asset allocation decisions are made to maximize expected utility rather than option value. We find analytic solutions for both return of premium and ratchet options at small values of bequest motive for a number of mortality laws.Item Open Access The effect of retirement taxation rules on the value of guaranteed lifetime withdrawal benefits(Te Herenga Waka—Victoria University of Wellington, 2018) Ulm, EricWe examine the value of GLWB options embedded in variable annuities in two different tax regimes. The New Zealand system taxes investment income when it is earned whereas the system in the US defers taxes on annuity investment income until it is paid out. We examine the effects of these tax differences on the charges collected by the issuer as well as on the value of the contract to the policyholder. We find that the issuer’s charges are typically lower (higher) in the NZ tax regime when the expected fund earnings are low (high) or the fund volatility is high (low). On the other hand, the value to the policyholder is always lower in the NZ tax regime due to the earlier tax payments. We also find that the value of the GLWB in the NZ tax regime is nearly always below the value of an ordinary payout annuity with the same tax rules.