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...

Ausführliche Beschreibung

Bibliographische Detailangaben

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
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!