Title
The effect of the real option to transfer on the value of guaranteed minimum death benefits
Abbreviated Journal Title
J. Risk Insur.
Keywords
Business, Finance; Economics
Abstract
Variable annuity contracts frequently have many options and option-like features embedded in the contracts. Some are obvious, such as guaranteed minimum death benefits (GMDBs), while others are less obviously option-like. In this article, we consider the effect of the real option to transfer funds between fixed and variable accounts. If a GMDB rider is considered in isolation, it is sometimes in the policyholder's interest to transfer to the fixed fund if the fixed fund earns less than the variable fund in a risk-neutral world. On the other hand, the option to transfer will not be used if the entire annuity and rider are considered together.
Journal Title
Journal of Risk and Insurance
Volume
73
Issue/Number
1
Publication Date
1-1-2006
Document Type
Article
Language
English
First Page
43
Last Page
69
WOS Identifier
ISSN
0022-4367
Recommended Citation
"The effect of the real option to transfer on the value of guaranteed minimum death benefits" (2006). Faculty Bibliography 2000s. 6658.
https://stars.library.ucf.edu/facultybib2000/6658
Comments
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