Premal Shah

Massachusetts Institute of Technology (MIT) - Operations Research Center

77 Massachusetts Avenue

Bldg. E 40-149

Cambridge, MA 02139

United States

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An Analysis of the Guaranteed Withdrawal Benefits for Life Option

Number of pages: 35 Posted: 08 Dec 2008 Last Revised: 29 Sep 2010
Premal Shah and Dimitris Bertsimas
Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Abstract:

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GWB for life, Variable Annuities, stochastic interest rate, stochastic volatility, pension, risk neutrl pricing, insurance