| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20140014392 |
| 003 | | | MAP |
| 005 | | | 20140506102101.0 |
| 008 | | | 140424e20140303esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | | | $0MAPA20090034792$aBernard, Carole |
| 245 | 1 | 0 | $aOptimal surrender policy for variable annuity guarantees$cCarole Bernard, Anne MacKay, Max Muehlbeyer |
| 520 | | | $aThis paper proposes a technique to derive the optimal surrender strategy for a variable annuity (VA) as a function of the underlying fund value. This approach is based on splitting the value of the VA into a European part and an early exercise premium following the work of Kim and Yu (1996) and Carr et al. (1992). The technique is first applied to the simplest VA with GMAB (path-independent benefits) and is then shown to be possibly generalized to the case when benefits are path-dependent. Fees are paid continuously as a fixed percentage of the fund value. Our approach is useful to investigate the impact of path-dependent benefits on surrender incentives. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g03/03/2014 Volumen 55 Número 1 - marzo 2014 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
