In contrast to usual pension insurance contracts variable annuities (VA), which came out as an established product innovation from the USA, offer the insurant more safety in terms of flexible patterned guarantees (so called guaranteed minimum benefits). Based on small fees the conservation of the investment and the participation in market profit is allowed. This thesis deals specifically with the Guaranteed Minimum Withdrawal Benefits (GMWB) option. Hereby the monthly or yearly withdrawal rate is determined by the duration of the contract. The insurer can withdraw periodically at a constant rate as long as his initial investment is not exhausted. Moreover the guaranteed sum of withdrawal is not affected by dropping prices so that the insurer is still able to withdraw though his fund assets are out of the money. The focal point of this thesis is the determination of the fair hedge fees for the mentioned guarantuee. Thereupon the calculation of the hedge fees are carried out by Monte Carlo methods. All calculations are based on the assumption of static withdrawal behavior and the typically market dynamics for the underlying assets.     «

In contrast to usual pension insurance contracts variable annuities (VA), which came out as an established product innovation from the USA, offer the insurant more safety in terms of flexible patterned guarantees (so called guaranteed minimum benefits). Based on small fees the conservation of the investment and the participation in market profit is allowed. This thesis deals specifically with the Guaranteed Minimum Withdrawal Benefits (GMWB) option. Hereby the monthly or yearly withdrawal rate i...     »