Huang, Yao Tung; Kwok, Yue Kuen - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 19-43
Guaranteed Minimum Withdrawal Benefits (GMWB) are popular riders in variable annuities with withdrawal guarantees. With withdrawals spread over the life of the annuities contract, the benefit promises to return the entire initial annuitization amount irrespective of the market performance of the...