2010 | 5 | 2 | 47-49
Article title

Withdrawal strategy for guaranteed lifelong withdrawal benefit option

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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.
Physical description
  • Department of Mathematics and Statistics, University of Naples Federico II, Italy
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