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