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Titel:

Incorporation of stochastic policyholder behaviour in analytical pricing of GMABs and GMDBs

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
4
Heft / Issue:
4
Seitenangaben Beitrag:
1-36
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.3390/risks4040041
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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