Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion
نویسندگان
چکیده
منابع مشابه
Valuing guaranteed minimum death benefits in variable annuities and the option to lapse∗
Many variable annuities provide money-back guarantees and market guarantees on invested principal. Embedded in some of these guarantees are stochastic maturity put options with adjustable strike prices. These variable annuities can be surrendered or lapsed at any time. The lapse option when exercised rationally represents an American style sell-back option that is exercised by the policyholder ...
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In this paper we give a method for computing the fair insurance fee associated with the guaranteed minimum death benefit (GMDB) clause included in many variable annuity contracts. We allow for partial withdrawals, a common feature in most GMDB contracts, and determine how this affects the GMDB fair insurance charge. Our method models the GMDB pricing problem as an impulse control problem. The r...
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5 In this paper we give a method for computing the fair insurance fee associated with the 6 guaranteed minimum death benefit (GMDB) clause included in many variable annuity contracts. 7 We allow for partial withdrawals, a common feature in most GMDB contracts, and determine 8 how this affects the GMDB fair insurance charge. Our method models the GMDB pricing 9 problem as an impulse control prob...
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Because human capital is often the largest asset an investor possesseswhenhe is young, protecting human capital from potential risks should be considered as a part of overall investment advice. The risk of the loss of the policyholder’s human capital – themortality risk – to the household can be partially hedged by a term life insurance policy. Guaranteed Minimum Death Benefits (GMDB) in Variab...
متن کاملThe Effect of Labor Income and Health Uncertainty on the Valuation of Guaranteed Minimum Death Benefits
We examine the effect of labor income and health uncertainty on the optimal choices of policyholders with Guaranteed Minimum Death Benefits embedded in Variable Annuities. These choices are determined in the context of a utility-based life cycle model including bequest motives and optimal term life purchases. We then determine riskneutral prices from the perspective of the issuing financial ins...
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ژورنال
عنوان ژورنال: Mathematics
سال: 2019
ISSN: 2227-7390
DOI: 10.3390/math7090835