Withdrawal strategy for guaranteed lifelong withdrawal benefit option

• Authors: Gabriella Piscopo
• 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.

Keywords

EN

Guaranteed lifelong withdrawal benefit option, static strategy, surrender value, variable annuity.

• Publisher: Prague Development Center, Czech Republic
• Journal: Perspectives of Innovations, Economics and Business
• Year: 2010
• Volume: 5
• Issue: 2
• Pages: 47-49

Dates

published

2010-06-08

Contributors

author

Gabriella Piscopo

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

References

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Identifiers

DOI

http://dx.doi.org/10.15208/pieb.2010.46