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首页> 外文期刊>The journal of risk and insurance >The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
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The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates

机译：年金价格对利率变动的反应缓慢且不对称

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摘要

Many assume that in the short run, annuity prices promptly and efficiently respond to changes in interest rates. Using a unique database of quotes, we show this is not the case. Prices are less sensitive to changes in rates than expected, and responses are asymmetric. Prices react more rapidly and with greater sensitivity to an increase than to a decrease in rates. The results are robust, but there is a small degree of heterogeneity in the responses of different insurance companies. When rates increase, larger firms are slightly quicker to improve prices. The opposite is true when rates decline. In sum, we show that the microstructure of annuity dynamics is more complicated than (simply) adding mortality credits to bond yields.
机译：许多人认为，在短期内，年金价格能够迅速有效地应对利率变化。使用唯一的报价数据库，我们发现情况并非如此。价格对利率变化的敏感性低于预期，并且反应是不对称的。价格反应更快，对价格上涨的敏感性高于对价格下跌的敏感性。结果是可靠的，但是不同保险公司的响应之间存在很小程度的异质性。当费率提高时，较大的公司会更快地提高价格。当利率下降时，情况正好相反。总而言之，我们表明年金动力学的微观结构比（简单地）增加债券的债券收益率信用更为复杂。

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