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This paper studies the optimal surrender policies for a variable annuity (VA) contract with a surrender option and a fixed insurance fee for guaranteed minimum maturity benefits (GMMB). In our proposed model, a policyholder pays the fixed insurance fee. Based on the integral transform techniques, we derive the analytic integral equations for the optimal surrender boundary and the value function of the VA contract that can be solved numerically by recursive integration method. We provide numerical values for the value function, the optimal surrender boundary, and the expected optimal surrender time.
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참고문헌 (11)
참고문헌 신청
J. Bertrand / 1996 / The Mellin Transform, The Transforms and Applications, Handbook / CRC Press
Carole Bernard / 2014 / Optimal surrender policy for variable annuity guarantees / Insurance: Mathematics and Economics 55:116~128
Pierangelo Ciurlia / 2011 / Valuation of European continuous-installment options / Computers & Mathematics with Applications 62(6):2518~2534
Thomas F. Coleman / 2006 / Hedging guarantees in variable annuities under both equity and interest rate risks / Insurance: Mathematics and Economics 38(2):215~228
A. Erdlyi / 1954 / Tables of Integral Transforms, vol. 1-2 / McGraw-Hill
Carole Bernard / 2014 / Optimal surrender policy for variable annuity guarantees / Insurance: Mathematics and Economics 55:116~128
Pierangelo Ciurlia / 2011 / Valuation of European continuous-installment options / Computers & Mathematics with Applications 62(6):2518~2534
Thomas F. Coleman / 2006 / Hedging guarantees in variable annuities under both equity and interest rate risks / Insurance: Mathematics and Economics 38(2):215~228
A. Erdlyi / 1954 / Tables of Integral Transforms, vol. 1-2 / McGraw-Hill
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