TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
Détails
Etat: Public
Version: Final published version
Licence: CC BY 4.0
ID Serval
serval:BIB_FFF582F68889
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
Périodique
ASTIN Bulletin
ISSN
0515-0361
1783-1350
1783-1350
Statut éditorial
Publié
Date de publication
2019
Volume
3
Numéro
34
Pages
73-97
Langue
anglais
Résumé
For insurance companies in Europe, the introduction of Solvency II leads to a tightening of rules for solvency capital provision. In life insurance, this especially affects retirement products that contain a significant portion of longevity risk (e.g., conventional annuities). Insurance companies might react by price increases for those products, and, at the same time, might think of alternatives that shift longevity risk (at least partially) to policyholders. In the extreme case, this leads to so-called tontine products where the insurance company’s role is merely administrative and longevity risk is shared within a pool of policyholders. From the policyholder’s viewpoint, such products are, however, not desirable as they lead to a high uncertainty of retirement income at old ages. In this article, we alternatively suggest a so-called tonuity that combines the appealing features of tontine and conventional annuity. Until some fixed age (the switching time), a tonuity’s payoff is tontine-like, afterwards the policyholder receives a secure payment of a (deferred) annuity. A tonuity is attractive for both the retiree (who benefits from a secure income at old ages) and the insurance company (whose capital requirements are reduced compared to conventional annuities). The tonuity is a possibility to offer tailor-made retirement products: using risk capital charges linked to Solvency II, we show that retirees with very low or very high risk aversion prefer a tontine or conventional annuity, respectively. Retirees with medium risk aversion, however, prefer a tonuity. In a utility-based framework, we therefore determine the optimal tonuity characterized by the critical switching time that maximizes the policyholder’s lifetime utility.</jats:p>
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Création de la notice
19/07/2022 17:54
Dernière modification de la notice
21/11/2022 9:17