Analysis of Guaranteed Lifelong Withdrawal Benefits (GLWB)

This project will analyze the latest guarantee feature in the variable annuities market: Guarantee lifelong withdrawal benefit. This option gives the client the right to deduct a certain amount annually from the policies account until death – even if a unit-linked account value drops to zero. We will build a stochastic framework to price the embedded guarantee for different product designs and parameters. Furthermore we will explore the impact of some of these various modeling assumptions on the policyholder’s optimal withdrawal strategy. The partner company will apply the model to price and hedge the GLWB attached to the variable annuity products it proposes.

Faculty Supervisor:

Dr. X.S. Lin

Student:

Yuxiang Chong

Partner:

AON Benfield Securities

Discipline:

Statistics / Actuarial sciences

Sector:

Finance, insurance and business

University:

University of Toronto