Conférencier: David Landriault, University of Waterloo

Résumé/Abstract: In variable annuities, fee structure designs have multiple implications for both insurers and policyholders. The design of “new” fee structure which makes both parties better off is a highly desirable goal. In this paper, we introduce a high-water mark fee structure as a generalization of both the constant fee and state-dependent fee schemes. A continuous-time pricing model for a variable annuity policy with guaranteed minimum death benefit (GMDB) and guaranteed minimum maturity benefit (GMMB) is developed under the high-water mark fee structure. While the insurer obtains fair fees under different fee structures, we further compare the policyholder's utility and shows the merits of the newly proposed fee scheme over the existing ones in the literature.

This is joint work with Professors Bin Li (University of Waterloo) and Dongchen Li (University of St- Thomas) and my PhD student Yumin Wang.