Robust hedging of withdrawal guarantees

Robust hedging of withdrawal guarantees

cashmachine

In the life insurance industry, withdrawal guarantees have emerged in recent decades as a guarantee feature in variable annuity products. In typical guaranteed minimum withdrawal benefit (GMWB) policies, the initial annuitisation amount is invested into a fund from which fixed withdrawal payments are periodically deducted. These are guaranteed up to a specified maturity; if the fund is depleted beforehand, the guarantor has to finance the outstanding withdrawal payments (see, for example,

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: