We present the regression-based Monte Carlo simulation algorithms for solving the stochastic control models associated with pricing and hedging of the Guaranteed Lifelong Withdrawal Benefit (GLWB) in variable annuities, where the dynamics of the underlying fund value is assumed to evolve...

We consider pricing Guaranteed Lifelong Withdrawal Benefit (GLWB) that consists of the early phase of accumulation of benefit base and the later income phase of annuities. The most recent form of the GLWB provides flexibility in allowing additional purchases in the accumulation phase, dynamic...

The guaranteed minimum withdrawal benefi ts (GMWB) are popular riders in variable annuities with withdrawal guarantees. With withdrawals spread over the life of the annuities contract, the bene fit promises to return the entire initial annuitization amount irrespective of the market performance...