Variable annuity (VA) policies are typically issued on mutual funds invested in both fixed income and equity asset classes. However, due to the lack of specialized models to represent the dynamics of fixed income fund returns, the literature has primarily focused on studying long-term investment guarantees on single-asset equity funds. This article develops a mixed bond and equity fund model in which the fund return is linked to movements of the yield curve. Theoretical motivation for our proposed specification is provided through an analogy with a portfolio of rolling horizon bonds. Moreover, basis risk between the portfolio return and its risk drivers is naturally incorporated into our framework. Numerical results show that the fit of our model to Canadian VA data is adequate. Finally, the valuation of VAs is illustrated and it is found that the prevailing interest rate environment can have a substantial impact on guarantee costs.

中文翻译：

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可变年金估值的混合债券和股票基金模型

可变年金 (VA) 政策通常针对投资于固定收益和股票资产类别的共同基金发行。然而，由于缺乏代表固定收益基金回报动态的专门模型，文献主要集中在研究单一资产股票基金的长期投资担保。本文开发了一种混合债券和股票基金模型，其中基金回报与收益率曲线的变动有关。我们提出的规范的理论动机是通过与滚动期限债券组合的类比提供的。此外，投资组合收益与其风险驱动因素之间的基差风险自然会纳入我们的框架。数值结果表明，我们的模型与加拿大 VA 数据的拟合是足够的。最后，