GMWB for life an analysis of lifelong withdrawal guarantees

In this paper, we analyze the latest guarantee feature in the variable annuities market: guaranteed minimum withdrawal benefits for life (GMWB for life) which are also called guaranteed lifelong withdrawal benefits (GLWB). This option gives the client the right to deduct a certain amount annually from the policy’s account value until death—even if a unit-linked account value drops to zero. We show how such products can be analyzed within a general framework presented in Bauer et al. (ASTIN Bull. 38(2):621–651, 2008). We price the embedded guarantee for different product designs and parameters under both, deterministic and optimal client behavior.ZusammenfassungDas vorliegende Paper analysiert spezielle Garantien in „Variable Annuity“-Produkten, so genannte Guaranteed Minimum Withdrawal Benefits for Life (GMWB for life) oder Guaranteed Lifelong Withdrawal Benefits (GLWB). Diese Produkte geben dem Versicherungsnehmer das Recht auf jährliche Entnahmen einer gewissen Mindesthöhe, selbst wenn das Fondsguthaben zwischenzeitlich aufgebraucht ist. Wir zeigen, wie derartige Produkte in einem allgemeinen Modellrahmen aus Bauer et al. (ASTIN Bull. 38(2):621–651, 2008) analysiert werden können und bewerten die enthaltenen Garantien für unterschiedliche Produktdesigns und Parameter unter der Annahme eines deterministischen bzw. optimalen Kundenverhaltens.

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