Modeling taxation of Variable Annuities has been frequently neglected, but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance products. The importance of including a model for taxation has first been observed by Moenig and Bauer (2016) while considering a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity. In particular, they consider the simple Black–Scholes dynamics to describe the underlying security. Nevertheless, GMWB are long-term products, and thus accounting for stochastic interest rate has relevant effects on both the financial evaluation and the policyholder behavior, as observed by Goudenège et al. (2018). In this paper, we investigate the outcomes of these two elements together on GMWB evaluation. To this aim, we develop a numerical framework which allows one to efficiently compute the fair value of a policy. Numerical results show that accounting for both taxation and stochastic interest rate has a determinant impact on the withdrawal strategy and on the cost of GMWB contracts. In addition, it can explain why these products are so popular with people looking for a protected form of investment for retirement.

可变年金的税收建模通常被忽略，但是对其进行会计处理可以显着改善对提款动态的解释，并可以更好地对这些保险产品的财务成本进行建模。Moenig和Bauer（2016）在考虑保证最低提款收益（GMWB）可变年金的同时，首先观察到了包括征税模型的重要性。特别是，他们考虑了简单的Black-Scholes动力学来描述基础安全性。尽管如此，正如Goudenège等人观察到的那样，GMWB是长期产品，因此，计算随机利率对财务评估和保单持有人行为都有相关影响。。（2018）。在本文中，我们将在GMWB评估中调查这两个要素的结果。为此，我们开发了一个数字框架，该框架可以有效地计算政策的公允价值。数值结果表明，计税和随机利率对提款策略和GMWB合同成本都有决定性的影响。此外，它可以解释为什么这些产品在寻求退休保护投资形式的人们中如此受欢迎。