volume 9, issue 2, P263-391 2003
DOI: 10.1017/s1357321700004219
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A. D. Wilkie, H. R. Waters, S. Yang

Abstract: In this paper we consider reserving and pricing methodologies for a pensions-type contract with a simple form of guaranteed annuity option. We consider only unit-linked contracts, but our methodologies and, to some extent, our numerical results would apply also to with-profits contracts.The Report of the Annuity Guarantees Working Party (Bolton et al., 1997), presented the results of a very interesting survey, as at the end of 1996, of life assurance companies offering guaranteed annuity options. There was no…

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