We consider the pricing of variable annuities with the Guaranteed Minimum Withdrawal Benefit (GMWB) under the Vasicek stochastic interest rate framework. The holder of the variable annuity contract pays an initial purchase payment to the insurance company, which is then invested in a portfolio...

We consider the pricing of variable annuities with the Guaranteed Minimum Withdrawal Benefit (GMWB) under the Vasicek stochastic interest rates framework. The holder of the variable annuity contract pays an initial purchase payment to the insurance company, which is then invested in a portfolio...