Chen, Z.; Vetzal, K.; Forsyth, P.A. - In: Insurance: Mathematics and Economics 43 (2008) 1, pp. 165-173
In this article, an extensive study of the no-arbitrage fee for Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuity riders is carried out. The value of the GMWB guarantee increases substantially when taking into account the separation of mutual fund fees and the fees earmarked for...