Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits

► We examine the choices of CRRA individuals who own Variable Annuity with GMDB. ► We find deviations in allocation and consumption rules when the GMDB is embedded. ► These deviations produce effects on the price and hedging parameters of the options. ► These noticeable effects should be taken into account by issuers of these riders.