Indifference Pricing of a GLWB Option in Variable Annuities

DOI10.1080/10920277.2017.1283237zbMath1414.91367OpenAlexW2609097544MaRDI QIDQ5379221

Jungmin Choi

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1283237

zbMATH Keywords

variable annuitiesGLWB option pricingguaranteed lifelong/lifetime withdrawal benefit options

Mathematics Subject Classification ID

Related Items (1)

Valuing Lifetime Withdrawal Guarantees in RILAs

Cites Work

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• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• The Mathematics of Financial Derivatives
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility

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