The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds

By M. Milevsky, S. Posner. 2001

214 citations recorded by the source corpus.

Subfields: Demography, Finance, General Health Professions

View Paper: https://www.semanticscholar.org/paper/1ffbfcadd10405fbe6f1da80a27c2b1c93448a6c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Peter A. Forsyth
2. X. Lin
3. Hailiang Yang
4. Daniel Bauer
5. Jochen Russ
6. Alexander Kling
7. Hans U. Gerber
8. E. Shiu

In Finance

1. Peter A. Forsyth
2. George Labahn
3. X. Lin
4. Hailiang Yang
5. A. Bélanger
6. Daniel Bauer
7. Lukasz Delong
8. E. Shiu

In General Health Professions

1. Peter A. Forsyth
2. X. Lin
3. Jochen Russ
4. Alexander Kling
5. George Labahn
6. A. Bélanger
7. Hailiang Yang
8. Lukasz Delong

Citations in the corpus

• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “We remark that for such a retirement product the withdrawal rate γ is usually low (see Milevsky and Posner (2001) and Milevsky and Salisbury (2006)).”
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, methodology): “Previous work in the area (Milevsky and Posner, 2001), which ignores the possibility of partial withdrawals, results in lower insurance fees.”
• Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, background): “(5.35) Although it seems rather different from formula (38) on page 117 of Milevsky and Posner (2001), both formulas produce the same values.”
• Regression-based algorithms for life insurance contracts with surrender guarantees (2010, unknown): “called Titanic by Milevsky and Posner (2001). For large enough portfolios of insureds with independent and”
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008, result): “Thus, our results are consistent with Milevsky and Posner (2001), who find that GMDB options are generally overpriced in the market.”
• Pricing Annuity Guarantees Under a Regime-Switching Model (2009, methodology): “Milevsky and Posner (2001) and Milevsky and Salisbury (2006) priced various variable annuities using the geometric Brownian motion asset model and constant interest rate.”
• Bringing cost transparency to the life annuity market (2014, background): “…to value some of the mortality options in variable annuities are the subject of highly technical academic papers (e.g. see Milevsky and Promislow 2001 and Milevsky and Posner 2001, the latter finding that market prices for insurance risk charges are substantially above their theoretical values).”
• Financial valuation of guaranteed minimum withdrawal benefits (2006, result): “This under-pricing result stands in contrast to w y Milevsky and Posner (2001)—and widely cited in heWall Street Journalin Clements (2004)—in which hey show that the standard return-of-premium r vailable on variable annuity policies is worth less t basis points of assets.”