Most US-based insurance companies offer holders of their tax-sheltered savings plans (VAs),
the long-term option to annuitise their policy at a pre-determined rate over a pre-specified …

Arithmetic Asian options are difficult to price and hedge as they do not have closed-form
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the …

Financial valuation OF GMWBs: We develop a variety of methods for assessing the cost and
value of a very popular ‘rider’ available to North American investors on variable annuity (VA) …

This paper examines the optimal annuitization, investment and consumption strategies of a
utility-maximizing retiree facing a stochastic time of death under a variety of institutional …

The authors use risk-neutral option pricing theory to value the guaranteed minimum death
benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A …

This 2006 book introduces and develops the basic actuarial models and underlying pricing
of life-contingent pension annuities and life insurance from a unique financial perspective. …

Most individuals must decide how much of their marketable wealth should be annuitized at
retirement. The natural alternative to annuitization is investing the wealth and withdrawing the …

Tontines were once a popular type of mortality-linked investment pool. They promised
enormous rewards to the last survivors at the expense of those died early. While this design …

This paper explores the financial properties of a concept product called an advanced-life
delayed annuity (ALDA). The ALDA is a variant of a pure deferred annuity contract that is …

Recommendations from the media and financial planners regarding retirement spending
rates deviate considerably from utility maximization models. This study argues that wealth …