Valuation of general GMWB annuities in a low interest rate environment

DOI10.1016/j.insmatheco.2023.07.003zbMath1528.91062arXiv2208.10183OpenAlexW4385357185MaRDI QIDQ6072272

Francesco Rotondi, Claudio Fontana

Publication date: 12 October 2023

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.10183

zbMATH Keywords

stochastic interest rateguaranteed minimum withdrawal benefitmortality riskvariable annuityHull-White modelsurrenderdynamic withdrawalstep-up feature

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Related Items (1)

Risk-neutral valuation of GLWB riders in variable annuities

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