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Document Details :
Title: Withdrawal Benefits under a Dependent Double Decrement Model
Author(s): CARRIERE, Jacques F.
Journal: ASTIN Bulletin
Volume: 28 Issue: 1 Date: May 1998
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.