dissertation · mediaTUM (Technical University of Munich) · 2013

Pricing of Variable Annuities - Incorporation of Policyholder Behavior

Ramsauer, Franz (FIM)

Cited by 1Abstract and details only

Abstract

This master's thesis studies the pricing of variable annuity contracts. In particular, we are focussing on certain unit-linked life insurance products offering guaranteed minimum benefits at maturity, in case of surrender as well as in case of an insured's death. Contrary to miscellaneous approaches that have already been introduced in the past and that are (partially) still in use nowadays, our pricing scheme shall not be based on simulation. Instead of that, we make appropriate assumptions allowing us to derive closed-form approximations. As the considered contracts offer surrender options to their policyholders, the mentioned approximations have to explicitly capture the surrender behavior of the assured. Hence, we have to solve the duality consisting of a simple approximation and a detailed surrender modeling.

Cite this paper

APA 7

Ramsauer, F. F. (2013). Pricing of Variable Annuities - Incorporation of Policyholder Behavior. mediaTUM (Technical University of Munich).

MLA 9

Ramsauer, Franz (FIM). “Pricing of Variable Annuities - Incorporation of Policyholder Behavior.” mediaTUM (Technical University of Munich), 2013.

Chicago

Ramsauer, Franz (FIM). 2013. “Pricing of Variable Annuities - Incorporation of Policyholder Behavior.” mediaTUM (Technical University of Munich).

Harvard

Ramsauer, F.F. (2013) ‘Pricing of Variable Annuities - Incorporation of Policyholder Behavior’, mediaTUM (Technical University of Munich).

BibTeX

@phdthesis{ramsauer2013pricing,
  title = {{Pricing of Variable Annuities - Incorporation of Policyholder Behavior}},
  author = {Ramsauer, Franz (FIM)},
  school = {mediaTUM  (Technical University of Munich)},
  year = {2013}
}

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