GMWB for life an analysis of lifelong withdrawal guarantees

In this paper, we analyze the latest guarantee feature in the variable annuities market: guaranteed minimum withdrawal benefits for life (GMWB for life) which are also called guaranteed lifelong withdrawal benefits (GLWB). This option gives the client the right to deduct a certain amount annually from the policy??s account value until death??even if a unit-linked account value drops to zero. We show how such products can be analyzed within a general framework presented in Bauer et al. (ASTIN Bull. 38(2):621?C651, 2008). We price the embedded guarantee for different product designs and parameters under both, deterministic and optimal client behavior.