Variable Annuities versus Mutual Funds: a Monte-carlo Analysis of the Options

  title={Variable Annuities versus Mutual Funds: a Monte-carlo Analysis of the Options},
  author={Moshe Arye Milevsky and Kamphol Panyagometh},
Mutual funds and variable annuities are similar instruments that differ mainly in their tax treatment. Their relative appeal is the subject of intense debate in the industry. This paper contributes to the literature by quantifying the impact of investment return uncertainty when comparing the two. We focus on the embedded tax options using Monte-Carlo simulations. We conclude that although low-cost variable annuities are superior to low-cost mutual funds over long time horizons, the critical… CONTINUE READING

From This Paper

Topics from this paper.


Publications citing this paper.
Showing 1-2 of 2 extracted citations

Policyholder Exercise Behavior in Life Insurance : The State of Affairs ∗

Daniel Bauer, Thorsten Moenig, Eric R. Ulm, Nan Zhu
View 3 Excerpts
Highly Influenced

Lapse-and-Reentry in Variable Annuities

Thorsten Moenig, Nan Zhu
View 1 Excerpt


Publications referenced by this paper.
Showing 1-10 of 30 references

Financial Services Review

A Milevsky, K Panyagometh
Financial Services Review • 2001

Individual risk in an investment-based social security system

M Feldstein, E Ranguelova
American Economic Review • 2001
View 1 Excerpt

Loss harvesting: What's it worth to the taxable investor?

R D Arnott, A L Berkin, J Ye
The Journal of Wealth Management • 2001
View 2 Excerpts

The problems with Monte-Carlo simulation

D Nawrocki
Journal of Financial Planning • 2001
View 1 Excerpt

An analysis of nonquali®ed tax-deferred annuities

W Reichenstein
The Journal of Investing • 2000
View 3 Excerpts

Can annuities pass muster? BEST'S REVIEW

R Panko
Can annuities pass muster? BEST'S REVIEW • 2000
View 1 Excerpt

Similar Papers

Loading similar papers…