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Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities

Thorsten Moenig and Daniel Bauer.

in Review of Finance

March 2016; p ublished online May 2015 .

Journal Article. Subjects: Insurance; Household Behaviour and Family Economics; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 15217 words.

Policyholder exercise behavior presents an important risk factor for pricing Variable Annuities. However, approaches presented in the literature—building on value-maximizing strategies akin...

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