Variable Annuities (VA) package living and death benefits, eventually aiming at constructing a
post-retirement income, while offering a number of possible guarantees in respect of financial
and mortality/longevity risks. In many circumstances, the policyholder keeps access to her
fund, and can in particular cash money beyond the benefits already set. Apart from financial
and mortality/longevity risks, the insurer is therefore exposed also to the risk of unexpected
decisions of the policyholder. We suggest to adopt a comprehensive approach to these different
risk sources, and we describe a unifying valuation framework of the guarantees under quite
general assumptions.
