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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Incorporation of stochastic policyholder behaviour in analytical pricing of GMABs and GMDBs 
Abstract:
Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs). Usually, they meet the increasing demand of the customers for private pension provision. In this paper we propose a pricing framework for variable annuities with guaranteed minimum repayments at maturity as well as in case of the insured's death. If the policyholder prematurely surrenders the considered contract, his right of...    »
 
Stichworte:
variable annuities, surrender behavior, closed-form approximation, pricing, affine linear model 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Risks, accepted for publication 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2016 
Seitenangaben Beitrag:
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein