Centro de Documentacion de Fundación MAPFRE - What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational?

MAP20180010040

What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational? / Gabrieffa Piscopo, Philipp Rüede

Sumario: This article examines the lapse risk inherent to the guaranteed lifelong with-drawal benefit option embedded in a variable annuity product valuated from a pure derivatives perspective, that is, as a Bermudian option given to the policyholder. We assume rational behavior and quantify the potential impact of the lapse risk, defined as the difference between no lapse and optimal lapsing. We develop a sensitivity analysis that shows how the value of the product varies with the key parameters, and calculate the fair fee using Monte Carlo simulations. Empirical analyses are performed and numerical results are provided

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2018 Volumen 85 Número 1 - marzo 2018 , p. 203-217

1. Simulación Monte Carlo . 2. Análisis empírico . 3. Mercado de seguros . 4. Empresas de seguros . 5. Modelos actuariales . 6. Cálculo actuarial . 7. Matemática del seguro . I. Rüede, Philipp . II. Título.