Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
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- Feng, Runhuan & Jing, Xiaochen, 2017. "Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 36-48.
- Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017. "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers 1705.03787, arXiv.org, revised May 2017.
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More about this item
KeywordsVariable annuity; Guaranteed lifetime withdrawal benefits (GLWB); Systematic mortality risk; Parameter risk; Model risk; Static hedging;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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