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Abstracts
In this paper we present a price model for the Guaranteed Lifelong Withdrawal Benefit, an option embedded in Variable Annuity policies, which gives the insured the possibility to withdraw from a fund a guaranteed amount annually, even if the account value has fallen below this amount. We calculate the No-arbitrage price of the contract if policyholders withdraw always the guaranteed amount or they surrender the product when the surrender value exceeds the value of future benefits.
Year
Volume
Issue
Pages
47-49
Physical description
Dates
published
2010-06-08
Contributors
author
- Department of Mathematics and Statistics, University of Naples Federico II, Italy
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-a4d3e7b0-6bcf-4f70-a95f-35cfb4894810