英文标题：
《Taxation of a GMWB Variable Annuity in a Stochastic Interest Rate Model》
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作者：
Andrea Molent
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最新提交年份：
2020
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英文摘要：
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 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 policy holder behavior, as observed by Gouden\\`ege 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.
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中文摘要：
可变年金的税收建模经常被忽视，但对其进行会计处理可以显著改善对提取动态的解释，并导致对这些保险产品的财务成本进行更好的建模。Moenig和Bauer（2016）在考虑GMWB可变年金时，首先观察到了纳入税收模型的重要性。特别是，他们考虑了简单的Black-Scholes动力学来描述潜在的安全性。尽管如此，GMWB是长期产品，因此，正如Gouden \\` ege等人（2018）所观察到的，考虑随机利率对财务评估和保单持有人行为都有相关影响。在本文中，我们研究了这两个要素在GMWB评估中的结果。为此，我们开发了一个数字框架，可以有效地计算保单的公允价值。数值结果表明，考虑税收和随机利率对退出策略和GMWB合同成本有决定性影响。此外，这可以解释为什么这些产品在寻求退休投资保护形式的人中如此受欢迎。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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