Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Reserving for Annuity Guarantees: Reference Paper for the Discussion

A. D. Wilkie, H. R. Waters, S. Yang, M. J. Bolton, D. H. Carr, P. A. Collis, C. M. George, V. P. Knowles and A. J. Whitehouse

British Actuarial Journal, 2004, vol. 10, issue 1, 101-130

Abstract: This report, which was sponsored by the Life Board of the Faculty and Institute of Actuaries, was originally published in November 1997. Because it is referred to several times in the paper ‘Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options’, and in the discussions of the paper, and because it is not easily accessible elsewhere, it is printed here as a background paper for reference.

Date: 2004
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