Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities
Author:
Affiliation:
1. Department of Risk and Insurance University of Wisconsin‐Madison Madison Wisconsin USA
2. Department of Risk, Actuarial Science and Legal Studies Temple University Philadelphia Pennsylvania USA
Funder
National Science Foundation
Society of Actuaries
Army Research Laboratory
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/jori.12393
Reference50 articles.
1. Alonso‐Garcia J. Sherris M. ThirurajahS. &Ziveyi J.(2019).Incorporating taxation in the valuation of variable annuity contracts: The case of the guaranteed minimum accumulation benefit [Working Paper Université Libre de Bruxelles].
2. American Academy of Actuaries. (2005).Variable Annuity Reserve Working Group (VARWG) analysis report attachment 5: Modeling specifications.
3. Individual annuity sales and product trends;Baiye S.;Society of Actuaries “Product Matters” Newsletter,2016
4. Dynamic mean–variance asset allocation;Basak S.;Review of Financial Studies,2010
5. A universal pricing framework for guaranteed minimum benefits in variable annuities;Bauer D.;ASTIN Bulletin—The Journal of the International Actuarial Association,2008
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