A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model

A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model

We consider the problem of evaluating variable annuities with a guaranteed minimum withdrawal benefit under a regime-switching model. We propose a trinomial lattice model to approximate the evolution of the investment fund value and the policy value at inception is computed through a backward induct...

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Veröffentlicht in:Scandinavian actuarial journal 2017-03, Vol.2017 (3), p.231-244
1. Verfasser: Costabile, M.
Format: Artikel
Sprache:eng
Schlagworte:
Actuarial science
IB11
IM30
minimum guaranteed withdrawal benefit
regime-switching models
Variable annuities
Withdrawals
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creator Costabile, M.
description We consider the problem of evaluating variable annuities with a guaranteed minimum withdrawal benefit under a regime-switching model. We propose a trinomial lattice model to approximate the evolution of the investment fund value and the policy value at inception is computed through a backward induction scheme. Finally, the insurance fee is computed as the solution of the equation that makes the contract actuarially fair. Numerical results are reported to illustrate the consistency of the proposed model.
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subjects Actuarial science
IB11
IM30
minimum guaranteed withdrawal benefit
regime-switching models
Variable annuities
Withdrawals
title A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
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