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To ensure the living standard of retiree, various pension funds and related survival annuity products are issued and these products are playing more significant roles in financial and insurance markets. Complex mortality models are developed to capture the mortality and longevity risks in order to ...
A guaranteed lifetime withdrawal benefit (GLWB) is a rider that you may be able to add to your variable annuity contract. It guarantees a minimum payout level, even if market losses reduce the cash value of the contract. Most riders also allow you to make withdrawals from your cash value ...
We apply the principle of equivalent utility to find the indifference price for a variable annuity with a GLWB contract with an equity-indexed death benefit. Using an exponential utility function, Hamilton-Jacobi-Bellman (HJB) type partial differential equations (PDEs) are derived for the pricing ...
(2014) "Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach." Insurance: Mathematics and Economics 56: 102-111.Huang, H., Milevsky, M. A., and Salisbury, T. S. (2014). Optimal initiation of a glwb in a variable annuity: no arbitrage approach. Insurance Math. ...
The article focuses on the features of guaranteed lifetime withdrawal benefit (GLWB) in the U.S. The author states that although it is marketed in different names, it shares the same core benefits, such as the owner may withdraw a percent...
The article focuses on the features of guaranteed lifetime withdrawal benefit (GLWB) in the U.S. The author states that although it is marketed in different names, it shares the same core benefits, such as the owner may withdraw a percentage of the annuity value, even the annuity cash ...
Several writers in the literature used a GBM model in which variance is considered to be constant to represent the fund value in a variable annuity contract. However, on the other hand, the returns on financial assets are non‐normally distributed in real life. A bit much Kurtosis, leverage ...
Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach. Insurance: Mathematics and Economics 56, 102-111.Huang, H., Milevsky, M. A., and Salisbury, T. S. (2014) Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach, Insurance: Mathematics and ...
The article explores whether variable annuity (VA) carriers in the U.S. will increase prices of guaranteed lifetime withdrawal benefits (GLWB). Many insurance companies were noted to be reluctant in raising prices, but Swiss Re Financial Services managing director Marshall Greenbaum anticipates GLWB...