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Volume 5
Issue 2
Online publication date 2010-06-08
Title Withdrawal strategy for guaranteed lifelong withdrawal benefit option
Author Gabriella Piscopo
Abstract In this paper we present a price model for the Guaranteed Lifelong Withdrawal Benefit, an option embedded in Variable Annuity policies, which gives the insured the possibility to withdraw from a fund a guaranteed amount annually, even if the account value has fallen below this amount. We calculate the No-arbitrage price of the contract if  policyholders withdraw always the guaranteed amount or they surrender the product when the surrender value exceeds the value of future benefits.
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Milevsky, M., Posner, S., 2001. “The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds”, The journal of Risk and Insurance 68, 1, pp.91-26

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Keywords Guaranteed lifelong withdrawal benefit option, static strategy, surrender value, variable annuity.
Pages 47-49
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