A seminar by Associate Professor Jonathan Ziyeyi from UNSW
Title: The valuation and assessment of retirement income products: A unified Markov chain Monte Carlo framework
Abstract: This paper devises a flexible assessment framework for a catalogue of existing retirement income products which include, account-based pensions, group self-annuities and variable annuity contracts. It utilises the Hamiltonian Monte Carlo approach, a proven computational technique for simulating conditional distributions in higher dimensions. Graphical illustrations for the risk-return trade-offs for each product are presented which can readily be adapted by advisors, and all stakeholders as a tool for enhancing the decision-making process for retirees. The key features of the retirement income products which include variable annuities, account-based pension, and group self-annuities, are presented in an easily understandable way. Sensitivity analysis on the investment options of the underlying fund provides insights for retirees to maximise income according to their risk preferences. We also devise a lifetime utility analysis framework for the comparison of lifetime utility from purchasing the retirement products.
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