23 de mayo, 13:00 horas, sala P302, Facultad de Economía y Negocios

Expositor: Jaime Casassus

Abstract

The Money’s Worth Ratio (MWR) measures an annuity’s actuarial fairness. It is calculated as the ratio of the present value of expected future payments to the cost of the annuity. We argue that this measure is likely to overestimate the value-for-money obtained by annuitants since it does not consider illiquidity premia and insurer default risk, which is borne by annuity holders if there are no government guarantees. We propose a multi-factor solution for an adjusted MWR (AMWR) that accounts for illiquidity and default risk. The adjustments proposed in this paper are represented by two multipliers, the liquidity and the credit risk factors, that are intuitive and in closed-form solutions. Valuing the default option requires detailed knowledge of the joint probability distribution of the asset and liability returns of each insurer. We also obtain implied credit spreads and asset insuciency probabilities for the annuity providers. We use our model to analyze the competitive Chilean annuity market, which offers MWRs above 1, finding that indeed these ratios are biased upward 7 percent on average, with wide dispersion.

3 de mayo, 08:30, sala P301, Facultad de Economía y Negocios

Expositor: Eladio Piña, presidente del Instituto de Auditores Internos de Chile

Organiza: Centro de Auditoría, Riesgo y Cumplimiento en conjunto con Instituto de Auditores Internos de Chile

25 de abril, 18:30 horas, sala P311, Facultad de Economía y Negocios.

Expositor: Manuel Palacios, GMO Quality & Reliability Engineering Manager de Google.

Organiza: Escuela de Sistemas de Información y Auditoría y Departamento de Control de Gestión y Sistemas de Información

18 de abril, 18:30 horas, sala P309, Facultad de Economía y Negocios.

Expositor: Cristián Maldonado, miembro del Instituto Chileno de Derecho Tributario y del Colegio de Contadores A.G.; perito contable, financiero y tributario de la Corte de Apelaciones de Concepción y Santiago.