This paper proposes a novel high-water mark fee structure and investigates its impact on the marketability of variable annuities. To evaluate the welfare effects of holding a variable annuity, we adopt mean-variance analysis. By also examining the welfare effects of holding two alternative investments, we introduce a quantitative measure, namely a compatible set of risk aversions, to assess the marketability of the variable annuity under a certain fee structure. Comparing the compatible sets and the welfare effects of holding the variable annuity under the high-water mark fee structure with those under a constant and a state-dependent fee structure, we find that the high-water mark fee structure improves the variable annuity's marketability in two aspects: First, it makes the variable annuity preferable to the alternative investments for a broader range of policyholders. Second, when the variable annuity is preferred over the alternative investments, it produces the highest welfare for the policyholder.

中文翻译：

---

可变年金的高水位费用结构

本文提出了一种新的高水位费用结构，并研究了其对可变年金可销售性的影响。为了评估持有可变年金的福利效应，我们采用均值方差分析。通过还检查持有两种另类投资的福利效应，我们引入了一种定量衡量标准，即一组兼容的风险规避，以评估特定费用结构下可变年金的可销售性。比较高水位线费用结构下持有可变年金的兼容集和福利效果与固定和状态相关的费用结构下的相容集和福利效果，我们发现高水位线费用结构提高了可变年金的可销售性两个方面：第一，对于更广泛的保单持有人来说，它使可变年金比另类投资更可取。其次，当可变年金优于另类投资时，它会为投保人带来最高的福利。