Optimal investment-disinvestment choices in health-dependent variable annuity
研究了保单持有人的健康状况如何影响其从变额年金合同（含终身提取保证）中停止缴费并开始领取收益的最优时机，构建了混合连续-离散时间模型来确定动态和静态情况下的投资与撤资触发点。
This paper exploits the influence of the policyholder's health status on the optimal time at which the policyholder decides to stop paying health-dependent premiums and starts withdrawing health-dependent benefits from a variable annuity (VA) contract accompanied by a guaranteed lifelong withdrawal benefit (GLWB). A mixed continuous-discrete time model is developed to find the optimal time for withdrawal regime initiation. The model determines the investment and disinvestment triggers according to the market conditions for both dynamic and static cases. In the static case, the optimal time is computed at the policy's inception time. In contrast, in the dynamic case, the optimal initiation time is achieved by recursive calculation of the exercise frontier of a real deferral option. Another finding is the sensitivity analysis of the contract concerning the insurance fee and the age of the policyholder.