Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/33576
Title: Optimal withdrawal strategies in GLWB variable annuities
Authors: BACINELLO, ANNA RITA 
MAGGISTRO, ROSARIO
ZOCCOLAN, IVAN
Keywords: GLWBDynamic withdrawalsBang-bang conditionLevy processesStochastic mortality
Issue Date: 2022
Publisher: EUT Edizioni Università di Trieste
Source: Anna Rita Bacinello, Rosario Maggistro, Ivan Zoccolan, "Optimal withdrawal strategies in GLWB variable annuities", EUT Edizioni Università di Trieste, 2022
Series/Report no.: DEAMS Research Paper Series, 2022, 1
Pages: 27
Abstract: 
The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality intensity and the asset price processes, in the numerical implementation of the algorithm we model the former as a non mean reverting square root process, and the latter as an exponential Lévy process. In this way we get a tractable and flexible stochastic model for efficient pricing and risk management of the GLWB. Another contribution of our paper is the verification, through backward induction, of the bang-bang condition for the set of discrete withdrawal strategies of the model. This result is particularly remarkable as in the insurance literature either the existence of optimal bang-bang controls is assumed or it requires suitable conditions. We present extensive numerical examples and compare the results obtained for different market parameters and policyholder behaviours.
Type: Book
URI: http://hdl.handle.net/10077/33576
Appears in Collections:DEAMS Research Paper Series 2022, 1

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