FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2101058764> ?p ?o ?g. }

• W2101058764 endingPage "38" @default.
• W2101058764 startingPage "21" @default.
• W2101058764 abstract "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) policies called a Guaranteed Minimum Withdrawal Benefit (GMWB). The GMWB promises to return the entire initial investment, albeit spread over an extended period of time, regardless of subsequent market performance. First, we take a static approach that assumes individuals behave passively and holds the product to maturity. We show how the product can be decomposed into a Quanto Asian Put plus a generic term-certain annuity. At the other extreme of consumer behavior, the dynamic approach leads to an optimal stopping problem akin to pricing an American put option, albeit complicated by the non-traditional payment structure. Our main result is that the No Arbitrage hedging cost of a GMWB ranges from 73 to 160 basis points of assets. In contrast, most products in the market only charge 30–45 basis points. Although we suggest a number of behavioral reasons for the apparent under-pricing of this feature in a typically overpriced VA market, we conclude by arguing that current pricing is not sustainable and that GMWB fees will eventually have to increase or product design will have to change in order to avoid blatant arbitrage opportunities." @default.
• W2101058764 created "2016-06-24" @default.
• W2101058764 creator A5043508017 @default.
• W2101058764 creator A5069840106 @default.
• W2101058764 date "2006-02-01" @default.
• W2101058764 modified "2023-10-11" @default.
• W2101058764 title "Financial valuation of guaranteed minimum withdrawal benefits" @default.
• W2101058764 cites W1973034347 @default.
• W2101058764 cites W1976954646 @default.
• W2101058764 cites W1992500438 @default.
• W2101058764 cites W2010307279 @default.
• W2101058764 cites W2034441475 @default.
• W2101058764 cites W2059429276 @default.
• W2101058764 cites W2081717017 @default.
• W2101058764 cites W2088762864 @default.
• W2101058764 cites W2093824721 @default.
• W2101058764 cites W2125788014 @default.
• W2101058764 cites W2155119013 @default.
• W2101058764 cites W2414735441 @default.
• W2101058764 cites W3121539357 @default.
• W2101058764 cites W3123480036 @default.
• W2101058764 cites W3123641801 @default.
• W2101058764 cites W3124480685 @default.
• W2101058764 cites W3124631118 @default.
• W2101058764 cites W3124848992 @default.
• W2101058764 cites W3126049755 @default.
• W2101058764 doi "https://doi.org/10.1016/j.insmatheco.2005.06.012" @default.
• W2101058764 hasPublicationYear "2006" @default.
• W2101058764 type Work @default.
• W2101058764 sameAs 2101058764 @default.
• W2101058764 citedByCount "186" @default.
• W2101058764 countsByYear W21010587642012 @default.
• W2101058764 countsByYear W21010587642013 @default.
• W2101058764 countsByYear W21010587642014 @default.
• W2101058764 countsByYear W21010587642015 @default.
• W2101058764 countsByYear W21010587642016 @default.
• W2101058764 countsByYear W21010587642017 @default.
• W2101058764 countsByYear W21010587642018 @default.
• W2101058764 countsByYear W21010587642019 @default.
• W2101058764 countsByYear W21010587642020 @default.
• W2101058764 countsByYear W21010587642021 @default.
• W2101058764 countsByYear W21010587642022 @default.
• W2101058764 countsByYear W21010587642023 @default.
• W2101058764 crossrefType "journal-article" @default.
• W2101058764 hasAuthorship W2101058764A5043508017 @default.
• W2101058764 hasAuthorship W2101058764A5069840106 @default.
• W2101058764 hasConcept C10138342 @default.
• W2101058764 hasConcept C106159729 @default.
• W2101058764 hasConcept C144133560 @default.
• W2101058764 hasConcept C145097563 @default.
• W2101058764 hasConcept C160623529 @default.
• W2101058764 hasConcept C162118730 @default.
• W2101058764 hasConcept C162324750 @default.
• W2101058764 hasConcept C175444787 @default.
• W2101058764 hasConcept C186027771 @default.
• W2101058764 hasConcept C1898038 @default.
• W2101058764 hasConcept C194483076 @default.
• W2101058764 hasConcept C2524010 @default.
• W2101058764 hasConcept C2776607717 @default.
• W2101058764 hasConcept C2780899237 @default.
• W2101058764 hasConcept C33923547 @default.
• W2101058764 hasConcept C44465351 @default.
• W2101058764 hasConcept C76485209 @default.
• W2101058764 hasConcept C90673727 @default.
• W2101058764 hasConcept C91602232 @default.
• W2101058764 hasConceptScore W2101058764C10138342 @default.
• W2101058764 hasConceptScore W2101058764C106159729 @default.
• W2101058764 hasConceptScore W2101058764C144133560 @default.
• W2101058764 hasConceptScore W2101058764C145097563 @default.
• W2101058764 hasConceptScore W2101058764C160623529 @default.
• W2101058764 hasConceptScore W2101058764C162118730 @default.
• W2101058764 hasConceptScore W2101058764C162324750 @default.
• W2101058764 hasConceptScore W2101058764C175444787 @default.
• W2101058764 hasConceptScore W2101058764C186027771 @default.
• W2101058764 hasConceptScore W2101058764C1898038 @default.
• W2101058764 hasConceptScore W2101058764C194483076 @default.
• W2101058764 hasConceptScore W2101058764C2524010 @default.
• W2101058764 hasConceptScore W2101058764C2776607717 @default.
• W2101058764 hasConceptScore W2101058764C2780899237 @default.
• W2101058764 hasConceptScore W2101058764C33923547 @default.
• W2101058764 hasConceptScore W2101058764C44465351 @default.
• W2101058764 hasConceptScore W2101058764C76485209 @default.
• W2101058764 hasConceptScore W2101058764C90673727 @default.
• W2101058764 hasConceptScore W2101058764C91602232 @default.
• W2101058764 hasIssue "1" @default.
• W2101058764 hasLocation W21010587641 @default.
• W2101058764 hasOpenAccess W2101058764 @default.
• W2101058764 hasPrimaryLocation W21010587641 @default.
• W2101058764 hasRelatedWork W2018013143 @default.
• W2101058764 hasRelatedWork W2087241853 @default.
• W2101058764 hasRelatedWork W2590563850 @default.
• W2101058764 hasRelatedWork W2736719625 @default.
• W2101058764 hasRelatedWork W3034965081 @default.
• W2101058764 hasRelatedWork W3123109410 @default.
• W2101058764 hasRelatedWork W3150338635 @default.
• W2101058764 hasRelatedWork W3178251513 @default.
• W2101058764 hasRelatedWork W939035486 @default.
• W2101058764 hasRelatedWork W3031647261 @default.

• next