Optimal behavior strategy in the GMIB product

Optimal behavior strategy in the GMIB product

Guaranteed Minimum Income benefit are variable annuities contract, which offer the policyholder the possibility to con- vert the guarantee level into an annuities income for life. This paper focuses on the optimal customer behavior assuming the maximization of the discounted expected future cash flo...

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Bibliographic Details
Main Authors: Aymeric Kalife, Gabriela López Ruiz, Saad Mouti, Xiaolu Tan
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2018-09-01
Series:Insurance Markets and Companies
Subjects:
dynamic programming
GMIB
optimal withdrawals
PDE
rational behavior
variable annuities
Online Access:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10938/IMC_2018_01_Kalife.pdf

Internet

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10938/IMC_2018_01_Kalife.pdf

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