PL EN


2010 | 5 | 2 | 47-49
Article title

Withdrawal strategy for guaranteed lifelong withdrawal benefit option

Content
Title variants
Languages of publication
EN
Abstracts
EN
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
5
Issue
2
Pages
47-49
Physical description
Dates
published
2010-06-08
Contributors
  • Department of Mathematics and Statistics, University of Naples Federico II, Italy
References
  • Advantage Compendiun, Ltd, 2008. A look at annuity and securities GLWBs
  • Bauer, D., Kling, A., Russ, J., 2008. “A universal pricing framework for guaranteed minimum benefit in variable annuities”, ASTIN Bulletin 38 (2), pp.621-51
  • Boyle, P., Schwartz, E., 1977. “Equilibrium prices of guarantees under equity-linked contracts”, Journal of Risk and Insurance 44 (2), pp.639-80
  • Chen, Z., Vetzal, K., Forsyth, P., 2008. “The effect of modelling parameters on the value of GMWB guaranteed”, Insurance: Mathematics and Economics 43, pp.165-73
  • Clements, J., 2004. “For a conservative investment, variable annuities are too costly”, Wall Street Journal C1, January 21
  • Coleman, T., Li, Y., Patron, M., 2006. “Hedging guarantees in variable annuities under both equity and interest rate risks”, Insurance: Mathematics and Economics 38, pp.215-28
  • Dai, M., Kwok, Y., Zong, J., 2008. “Guaranteed minimum withdrawal benefit in variable annuities”, Mathematical Finance (in press)
  • Holz, D., Kling, A., Rub, J., 2006. “GMWB for life. An analysis of lifelong withdrawal guarantees”, Working Paper ULM University
  • Milevsky, M., Posner, S., 2001. “The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds”, The journal of Risk and Insurance 68, 1, pp.91-26
  • Milevsky, M., Promislow, S., 2001, “Mortality derivatives and the option to annuities”, Insurance: Mathematics and Economics 29, pp.299-18
  • Milevsky, M., Salisbury, T., 2006. “Financial valuation of guaranteed minimum withdrawal benefits”, Insurance: Mathematics and Economics 38, pp.21-38
  • Piscopo, G., 2009. “The fair price of guaranteed lifelong withdrawal benefit option in variable annuity”, Problems & Perspectives in Management, 7, pp.79-83
  • Sloane, W., 1970. Life insurers, variable annuities and mutual fund: a Critical Study, Journal of Risk and Insurance, Volume 37, No1, pp.87-104
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.desklight-a4d3e7b0-6bcf-4f70-a95f-35cfb4894810
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.