GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. In section … policyholder's guaranteed death benefits. We derive the optimal transfer choice by the insured, and furthermore price the GMDB … model and find that both human capital and the GMDB will influence the insured's allocation and withdrawal decisions …

Benefits (GMDB) in Variable Annuities (VA) can also help policyholders hedge the risk of the loss of human capital. Therefore …, GMDB options and term life insurance can be considered as substitute goods. However, they are not perfect substitute as … GMDB and term life have their own properties: Term life insurance has no correlation with equity markets, and it is purely …

particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than … particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than …@munichre.com 1 Keywords: Benchmark approach, fair pricing, GMDB, growth optimal portfolio, lapsation, local volatility function …

GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. The Merton … benefits. We derive the optimal transfer choice by the insured, and furthermore price the GMDB through maximizing the …

benefit (GMDB) clause included in many variable annuity contracts. We allow for partial withdrawals, a common feature in most … GMDB contracts, and determine how this affects the GMDB fair insurance charge. Our method models the GMDB pricing problem … addition of the partial withdrawal feature significantly increases the fair insurance charge for GMDB contracts. …