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Withdrawal Benefits under a Dependent Double Decrement Model
1998
ASTIN Bulletin: The Journal of the International Actuarial Association
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This article presents an explicit formula for the value of a withdrawal benefit when the times of death and withdrawal are dependent. The derivation is based on an actuarial equivalence principle. As a special case, we show that in the fully continuous case, the withdrawal benefit is the reserve when the decrements are independent. We also present a definition of antiselection and prove that the withdrawal benefit will be smaller under antiselection.
doi:10.2143/ast.28.1.519078
fatcat:ofdgrleagvhqjn3zuvt3xo62le