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What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational?

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20180004506‎$a‎Piscopo, Gabrieffa
24510‎$a‎What if variable annuity policyholders with guaranteed lifelong withdrawal benefit were rational?‎$c‎Gabrieffa Piscopo, Philipp Rüede
520  ‎$a‎This 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
650 4‎$0‎MAPA20080608606‎$a‎Simulación Monte Carlo
650 4‎$0‎MAPA20080578879‎$a‎Análisis empírico
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
7001 ‎$0‎MAPA20180005183‎$a‎Rüede, Philipp
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/03/2018 Volumen 85 Número 1 - marzo 2018 , p. 203-217