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UID:20251103T210804EST-1175Mm7Cnb@132.216.98.100
DTSTAMP:20251104T020804Z
DESCRIPTION:Title: Taxation and Policyholder Behavior: The Case of Guarante
 ed Minimum Accumulation Benefits .\n\nAbstract: This paper considers varia
 ble annuity contracts embedded with guaranteed minimum accumulation benefi
 t (GMAB) riders when policyholder's proceeds are taxed. These contracts pr
 omise the return of the premium paid by the policyholder\, or a higher ste
 pped up value\, at the end of the investment period. A partial differentia
 l valuation framework\, which exploits the numerical method of lines\, is 
 used to determine fair fees that render the policyholder and insurer profi
 ts neutral. Two taxation regimes are considered\; one where capital gains 
 are allowed to offset losses and a second where gains do not offset losses
 \, reflecting stylized institutional arrangements in Australia and the US 
 respectively. Most insurance providers highlight the tax-deferred feature 
 of a variable annuity. We show that the regime under which the insured is 
 taxed significantly impacts supply and demand prices. If losses are allowe
 d to offset gains then this enhances the market\, narrowing the gap betwee
 n fees\, and even producing higher demand than supply fees. On the other h
 and\, when losses are not allowed to offset gains\, then the demand-supply
  gap increases. When charging the demand price\, we show that insurance co
 mpanies would be profitable on average. We also show how investment policy
 \, as reflected in the Sharpe ratio\, impacts and interacts with policyhol
 der persistency.\n\nOnline seminar\, Lien Zoom / Zoom link: https://hecmon
 treal.zoom.us/j/89909144446?pwd=MmZRcFVDYmV5ckF3a0ZOS2g3QX... Mot de passe
  / Password: 979592\n
DTSTART:20210319T140000Z
DTEND:20210319T150000Z
SUMMARY:Jennifer Alonso Garcia (Université Libre de Bruxelles)
URL:/mathstat/channels/event/jennifer-alonso-garcia-un
 iversite-libre-de-bruxelles-329590
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