WITHDRAWAL STRATEGY FOR GUARANTEED LIFELONG WITHDRAWAL BENEFIT OPTION

Gabriella Piscopo
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Gabriella Piscopo: Department of Mathematics and Statistics University of Naples Federico II, Italy

Perspectives of Innovation in Economics and Business (PIEB), 2010, vol. 5, issue 2, 47-49

Abstract: In this paper we present a price model for the Guaranteed Lifelong Withdrawal Benefit, an option embedded in Variable Annuity policies, which gives the insured the possibility to withdraw from a fund a guaranteed amount annually, even if the account value has fallen below this amount. We calculate the No-arbitrage price of the contract if policyholders withdraw always the guaranteed amount or they surrender the product when the surrender value exceeds the value of future benefits

Keywords: Guaranteed lifelong withdrawal benefit option; static strategy; surrender value; variable annuity. (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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