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- W3100553905 abstract "Abstract Modeling taxation of Variable Annuities has been frequently neglected, but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance products. The importance of including a model for taxation has first been observed by Moenig and Bauer (2016) while considering a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity. In particular, they consider the simple Black–Scholes dynamics to describe the underlying security. Nevertheless, GMWB are long-term products, and thus accounting for stochastic interest rate has relevant effects on both the financial evaluation and the policyholder behavior, as observed by Goudenège et al . (2018). In this paper, we investigate the outcomes of these two elements together on GMWB evaluation. To this aim, we develop a numerical framework which allows one to efficiently compute the fair value of a policy. Numerical results show that accounting for both taxation and stochastic interest rate has a determinant impact on the withdrawal strategy and on the cost of GMWB contracts. In addition, it can explain why these products are so popular with people looking for a protected form of investment for retirement." @default.
- W3100553905 created "2020-11-23" @default.
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- W3100553905 date "2020-09-01" @default.
- W3100553905 modified "2023-09-23" @default.
- W3100553905 title "TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL" @default.
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- W3100553905 doi "https://doi.org/10.1017/asb.2020.29" @default.
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