Pricing Reset Guaranteed Minimum Withdrawal Benefit in Variable Annuities

摘要

This paper analyzes the sub-account value process of the reset GMWB and develops PDE frameworks and techniques for determining the financial policy value.Dichotomy is used to depose the pricing problems which don't reset and which have reset and the finite difference methods are provided to solve the equations.The numerical tests show that the policyholder should reset when the sub-account is higher than the guarantee account balance.The fair insurance charge rate will increase when volatility increases,and it could be greater than the general GMWB's fair charge rate.