Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet

DOI10.1016/J.INSMATHECO.2024.06.001zbMATH Open1548.91094MaRDI QIDQ6607484FDOQ6607484

Authors: Darcy Harcourt, Toby Daglish, Eric R. Ulm 

Publication date: 18 September 2024

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

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• Indifference pricing of a GLWB option in variable annuities
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• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

zbMATH Keywords

geometric Brownian motion with affine driftanalytic solutionvariable annuitiesguaranteed lifetime withdrawal benefits

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Equator. A function calculator
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
• The Laplace transform of hitting times of integrated geometric Brownian motion
• On approximation of functions by exponential sums
• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
• Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
• Fitting combinations of exponentials to probability distributions

Cited In (3)

• Valuing Lifetime Withdrawal Guarantees in RILAs
• Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
• Valuation of guaranteed lifelong withdrawal benefit with the long-term care option

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