Optimal Valuation of Variable Annuity Guaranteed Lifetime Withdrawal Benefits with Embedded Top-up Option

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Title

Optimal Valuation of Variable Annuity Guaranteed Lifetime Withdrawal Benefits with Embedded Top-up Option

Content partner

Victoria University of Wellington

Collection

Open Access Victoria University of Wellington

Description

<p dir="ltr">This paper generalizes earlier works on the valuation of variable annuity guaranteed lifetime withdrawal benefits (VAGLWB) to an extent in which the policyholders are given an option to change the parameters of the contract, i.e., the withdrawal and premium rates, at any time during the duration of the contract. Under this framework, we propose an embedded top-up option which gives the buyer an opportunity to change the contract to a new one with a larger withdrawal rate and redu...

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Format

Research paper

Research format

Scholarly text / Journal article

Date created

2024

Creator

Budhi Surya

URL

https://figshare.com/articles/preprint/Optimal_Valuation_of_Variable_Annuity_Guaranteed_Lifetime_...

Related subjects

Economics / Mathematical sciences / Optimal Stopping Theory / Actuarial science

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