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Systematic Mortality Risk : An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - 2016

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover sys- tematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study...

Persistent link: https://www.econbiz.de/10014156866

Systematic Mortality Risk : An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - 2015

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study of...

Persistent link: https://www.econbiz.de/10014038842

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Fourier space time-stepping algorithm for valuing Guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality

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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

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