GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
نویسندگان
چکیده
منابع مشابه
Guaranteed Minimum Withdrawal Benefit in Variable Annuities
We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set and no penalty is imposed when the policyh...
متن کاملA numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
In this paper, we outline an impulse stochastic control formulation for pricing variable annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB) assuming the policyholder is allowed to withdraw funds continuously. We develop a single numerical scheme for solving the Hamilton-Jacobi-Bellman (HJB) variational inequality corresponding to the impulse control problem, and for pricing realistic...
متن کاملThe Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds
The authors use risk-neutral option pricing theory to value the guaranteed minimum death benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A variety of death benefits, such as returnof-premium, rising floors, and “ratches,” are analyzed. Specifically, the authors compute the fair insurance risk fee, charged to assets, that funds the embedded option. The autho...
متن کاملRisk based capital for guaranteed minimum withdrawal benefit
The guaranteed minimum withdrawal benefit (GMWB) is a recent innovation in the insurance market. It is sold as a rider to variable annuity contracts, which guarantees the return of total purchase payment regardless of the performance of the underlying investment funds. The valuation of GMWB has been extensively covered in the previous literature, but a more challenging problem is the computatio...
متن کاملValuing guaranteed minimum death benefits in variable annuities and the option to lapse∗
Many variable annuities provide money-back guarantees and market guarantees on invested principal. Embedded in some of these guarantees are stochastic maturity put options with adjustable strike prices. These variable annuities can be surrendered or lapsed at any time. The lapse option when exercised rationally represents an American style sell-back option that is exercised by the policyholder ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2008
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2008.00349.x