|
Abstract |
In this talk we present an efficient and robust numerical algorithm for pricing variable annuities with GMWB by solving partial differential equations with jump conditions at discrete withdrawing dates. We also incorporate some death benefits on top of the withdrawal benefits and pricing the product using Australian Life Tables. We compare prices of optimal strategies with static withdrawals. In addition we show that, under optimal withdrawal strategies, the common fee structure is very risky for the policy issuers offering basic death benefits returning the premium. |
