Analytic valuation of GMDB options with utility based asset allocation

被引：1
|
作者：
Ulm, Eric R. [1 ]
机构：
[1] Victoria Univ Wellington, Sch Econ & Finance, Wellington, New Zealand
来源：
SCANDINAVIAN ACTUARIAL JOURNAL | 2022年 / 2022卷 / 09期
关键词：
Variable annuities; Guaranteed Minimum Death Benefits; expected utility; MINIMUM DEATH BENEFIT; VARIABLE ANNUITIES; LIFE-INSURANCE; BEQUEST MOTIVES; GUARANTEED; CONSUMPTION; DEMAND;
D O I：
10.1080/03461238.2022.2034127
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A number of analytic solutions have been found for Variable Annuity Guaranteed Minimum Death Benefit (GMDB) option values under a variety of mortality laws. To date, the solutions are for Risk-Neutral valuation only. Where policyholder decisions are allowed, it is assumed that they act to maximize the risk-neutral value of the GMDB. We examine situations where the asset allocation decisions are made to maximize expected utility rather than option value. We find analytic solutions for both return of premium and ratchet options at small values of bequest motive for a number of mortality laws.
引用
收藏
页码：816 / 840
页数：25
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