What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational?
Título: What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational? / Gabrieffa Piscopo, Philipp Rüede
Autor: Piscopo, Gabrieffa
Notas: 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
Registros relacionados: 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
Autores secundarios: Rüede, Philipp
Otras clasificaciones: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/