Analyse d’impact du moment de décaissement d’un produit avec garantie de rachat viager

The extant literature on the Guaranteed Lifetime Withdrawal Benefits (GLWB) financial risk is abundant, however, few articles investigate the option offered to the policyholder with respect to the initiation of the contract and examine this impact on the profitability of the product for the insurer. We extend the analysis carried out by Huang et al. (IME, 2014) on the optimal initiation of the product with GLWB. First, we add an additional dimension in the analysis to account for the insurer losses as a function of the age for disbursement chosen by the policyholder. Then, we develop a novel analytical framework to determine by numerical methods the extent to which an insurer, expecting his client to choose when to receive benefits to maximize the value of his variable annuity contract, should change its actuarially fair fee structure. We show that the fair premium is a function of the insured policyholder age when he bought the contract. This result runs counter to the current fee structure and practice in the Canadian insurance industry with insurers charging a uniform level of fees regardless of the policyholder biological age when the contract is issued.

The effect of retirement taxation rules on the value of guaranteed lifetime withdrawal benefits

We examine the value of guaranteed lifetime withdrawal benefit (GLWB) options embedded in variable annuities in two different tax regimes. The New Zealand (NZ) system taxes investment income when it is earned, whereas the system in the United States 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.