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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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...    »
 
Keywords:
variable annuities, surrender behavior, closed-form approximation, pricing, affine linear model 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Risks 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal volume:
Journal issue:
Pages contribution:
1-36 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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