Withdrawal Benefits under a Dependent Double Decrement Model

Jacques F. Carriere
1998 ASTIN Bulletin: The Journal of the International Actuarial Association  
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