| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076820 | Insurance: Mathematics and Economics | 2012 | 13 Pages |
Abstract
⺠We examine the choices of CRRA individuals who own Variable Annuity with GMDB. ⺠We find deviations in allocation and consumption rules when the GMDB is embedded. ⺠These deviations produce effects on the price and hedging parameters of the options. ⺠These noticeable effects should be taken into account by issuers of these riders.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jin Gao, Eric R. Ulm,