Monte Carlo valuation of the initiation option in a GLWB variable annuity

Monte Carlo valuation of the initiation option in a GLWB variable annuity

24 Views
Added in 2019 JUL | IME 2019 LIFE PENSIONS

Thanks! Share it with your friends!

URL

You disliked this video. Thanks for the feedback!

Sorry, only registred users can create playlists.
URL

Description:

We focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analysed using a PDE approach, see Huang et al. (IME, 56(2014), 102-111). While the latter method is elegant, it becomes less viable when the valuation model is more involved and other guarantees are considered. We exploit the Least Square Monte Carlo method and explore the interaction of the initiation option with lapses and other riders, and the effect of stochastic volatility, interest rates and mortality.

Post your comment

Sign in or sign up to post comments.
Be the first to comment