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@article{ART001556611},
author={김융희 and Kim, Changki},
title={Analyzing Guarantees in Variable Annuities},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2011},
volume={22},
number={2},
pages={3-25}

TY - JOUR
AU - 김융희
AU - Kim, Changki
TI - Analyzing Guarantees in Variable Annuities
JO - Journal of Insurance and Finance
PY - 2011
VL - 22
IS - 2
PB - Korea Insurance Research Institute
SP - 3
EP - 25
SN - 2384-3209
AB - In this study, we analyze the profit margin of variable annuities (VA) in Korean market and assess the risks embedded in the GMDB(guaranteed minimum death benefit) and GMAB (guaranteed minimum accumulation benefit) options. This paper shows that the real mortality costs and the real withdrawal rate have significant impact on the profit margin of VA products. We calculate the prices of the GMDB and GMAB options using simulation method and Black-Schloes option pricing model. The analysis shows that from the variable annuity market in Korea they have earned stable profits due to the conservative product structure and the favorable stock market. But there still exists the chance of losses from the embedded GMDB and GMAB options.
KW - guaranteed minimum accumulation benefit. guaranteed minimum death benefit;profit margin;variable annuity
DO -
UR -
ER -

김융희 and Kim, Changki. (2011). Analyzing Guarantees in Variable Annuities. Journal of Insurance and Finance, 22(2), 3-25.

김융희 and Kim, Changki. 2011, "Analyzing Guarantees in Variable Annuities", Journal of Insurance and Finance, vol.22, no.2 pp.3-25.

김융희, Kim, Changki "Analyzing Guarantees in Variable Annuities" Journal of Insurance and Finance 22.2 pp.3-25 (2011) : 3.

김융희, Kim, Changki. Analyzing Guarantees in Variable Annuities. 2011; 22(2), 3-25.

김융희 and Kim, Changki. "Analyzing Guarantees in Variable Annuities" Journal of Insurance and Finance 22, no.2 (2011) : 3-25.

김융희; Kim, Changki. Analyzing Guarantees in Variable Annuities. Journal of Insurance and Finance, 22(2), 3-25.

김융희; Kim, Changki. Analyzing Guarantees in Variable Annuities. Journal of Insurance and Finance. 2011; 22(2) 3-25.

김융희, Kim, Changki. Analyzing Guarantees in Variable Annuities. 2011; 22(2), 3-25.

김융희 and Kim, Changki. "Analyzing Guarantees in Variable Annuities" Journal of Insurance and Finance 22, no.2 (2011) : 3-25.