Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities

DOI10.1016/j.insmatheco.2014.06.010zbMath1304.91103OpenAlexW3122865594MaRDI QIDQ2513624

Man Chung Fung, Michael Sherris, Katja Ignatieva

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.010

zbMATH Keywords

model riskvariable annuityparameter riskstatic hedgingsystematic mortality riskguaranteed lifetime withdrawal benefits (GLWB)

Mathematics Subject Classification ID

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