Risk-neutral valuation of GLWB riders in variable annuities

DOI10.1016/J.INSMATHECO.2023.10.001OpenAlexW4388535999MaRDI QIDQ6152701FDOQ6152701

Authors: Anna Rita Bacinello, Rosario Maggistro, Ivan Zoccolan 

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.10.001

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zbMATH Keywords

stochastic mortalityLévy processesbang-bang conditiondynamic withdrawalsGLWB

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30)

Cites Work

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• Title not available (Why is that?)
• Valuation of general GMWB annuities in a low interest rate environment

Cited In (2)

• Valuing Lifetime Withdrawal Guarantees in RILAs
• Valuation of guaranteed lifelong withdrawal benefit with the long-term care option

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