A number of analytic solutions have been found for Variable Annuity Guaranteed Minimum Death Benefit (GMDB) option values under a variety of mortality laws. To date, the solutions are for Risk-Neutral valuation only. Where ...
We examine the value of GLWB options embedded in variable annuities in two different tax regimes. The New Zealand system taxes investment income when it is earned whereas the system in the US defers taxes on annuity ...