Analytic Valuation of GMDB Options with Utility Based Asset Allocation

dc.contributor.author	Ulm, Eric
dc.date.accessioned	2020-02-03T22:28:36Z
dc.date.available	2020-02-03T22:28:36Z
dc.date.copyright	2020
dc.date.issued	2020
dc.identifier.uri	http://researcharchive.vuw.ac.nz/handle/10063/8566
dc.description.abstract	A number of analytic solutions have been found for Variable Annuity Guaranteed Minimum Death Benefit (GMDB) option values under a variety of mortality laws. To date, the solutions are for Risk-Neutral valuation only. Where policyholder decisions are allowed, it is assumed that they act to maximize the risk-neutral value of the GMDB. We examine situations where the asset allocation decisions are made to maximize expected utility rather than option value. We find analytic solutions for both return of premium and ratchet options at small values of bequest motive for a number of mortality laws.	en_NZ
dc.language.iso	en_NZ
dc.relation.ispartofseries	SEF Working Paper; 01/2020	en_NZ
dc.subject	Guaranteed Minimum Death Benefit	en_NZ
dc.subject	Mortality laws	en_NZ
dc.subject	GMDB	en_NZ
dc.title	Analytic Valuation of GMDB Options with Utility Based Asset Allocation	en_NZ
dc.type	Text	en_NZ
vuwschema.contributor.unit	School of Economics and Finance	en_NZ
vuwschema.type.vuw	Working or Occasional Paper	en_NZ
dc.rights.rightsholder	http://www.victoria.ac.nz/sef/research/sef-working-papers	en_NZ
vuwschema.subject.anzsrcfor	150204 Insurance Studies	en_NZ