Portfolio management for equity-indexed annuities

股票指数年金的投资组合管理

• 批准号: 327569-2009
• 负责人: Gaillardetz, Patrice
• 金额: $ 1.17万
• 依托单位: Concordia University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2011
• 资助国家: 加拿大
• 起止时间: 2011-01-01 至 2012-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=481782
• 关键词: Portfolio; management; equity; indexed; annuities

I propose to investigate the evolution of equity-indexed annuity (EIA) portfolios as well as their associated risk management. An equity-indexed annuity is an insurance product whose benefits are linked to the performance of an equity market. It provides limited participation in the performance of an equity index (e.g. S&P 500) while guaranteeing a minimum rate of return. Introduced by Keyport Life Insurance Co. in 1995, equity-indexed annuities have been the most innovative insurance product introduced in recent years. They have become increasingly popular since their debut and their sales have broken the $20 billion barrier ($23.1 billion) in 2004, reaching $27.3 billion in 2005. Since equity-indexed annuities have reached a critical mass with a total asset of $93 billion in 2005, I propose to investigate a global approach that evaluates the dynamic evolution of these portfolios in a realistic framework.

我建议调查股票指数年金（EIA）投资组合的演变以及相关的风险管理。股票指数年金是一种保险产品，其收益与股票市场的表现挂钩。它提供了有限的参与股票指数（如标准普尔500）的表现，同时保证最低回报率。 由Keyport Life Insurance Co.于1995年推出的股票指数年金是近年来推出的最具创新性的保险产品。自首次亮相以来，它们越来越受欢迎，其销售额在2004年突破了200亿美元大关（231亿美元），2005年达到273亿美元。由于股票指数年金已经达到了临界质量的总资产为930亿美元，在2005年，我建议调查一个全球性的方法，评估这些投资组合的动态演变在一个现实的框架。