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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Krayzler, M.; Ramsauer, F.; Saunders, D.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
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...     »
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:
4
Journal issue:
4
Pages contribution:
1-36
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.3390/risks4040041
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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