The paper presents a review of structural models of policyholder behavior in life insurance. We first discuss underlying drivers of policyholder behavior in theory and survey the implications of different models. We then turn to empirical behavior and appraise how well different drivers explain...

Policyholder exercise behavior presents an important risk factor for pricing Variable Annuities. However, approaches presented in the literature—building on value-maximizing strategies akin to pricing American options—do not square with observed price and exercise patterns for popular...

Typical Variable Annuity products combine complex baseline contracts at considerable fees with optional guarantees. We argue this product design is driven by benefits of bundling to the provider, to the extent that the baseline option features can reduce total replication value. This is possible...