Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs

Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs

Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs). They are designed for the increasing demand of the customers for private pension provision. In this paper we analytically price...

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Bibliographic Details
Main Authors: Marcos Escobar, Mikhail Krayzler, Franz Ramsauer, David Saunders, Rudi Zagst
Format: Article
Language:English
Published: MDPI AG 2016-11-01
Series:Risks
Subjects:
variable annuities
surrender behavior
closed-form approximation
pricing
affine linear model
Online Access:http://www.mdpi.com/2227-9091/4/4/41

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http://www.mdpi.com/2227-9091/4/4/41

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