Gao, Jin; Ulm, Eric R. - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 586-598
We determine the optimal allocation of funds between the fixed and variable subaccounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. The Merton method is applied by assuming that individuals allocate...