Withdrawal Benefits under a Dependent Double Decrement Model

Jacques F. Carriere

ASTIN Bulletin, 1998, vol. 28, issue 1, 49-57

Abstract: This article presents an explicit formula for the value of a withdrawal benefit when the times of death and withdrawal are dependent. The derivation is based on an actuarial equivalence principle. As a special case, we show that in the fully continuous case, the withdrawal benefit is the reserve when the decrements are independent. We also present a definition of antiselection and prove that the withdrawal benefit will be smaller under antiselection.

Date: 1998
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