Portfolio management for equity-indexed annuities

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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.