Guaranteed Lifetime Withdrawal Benefit(GLWB) guarantees that consumers will receive a certain amount of pensions or more until death without having to sign up for whole life annuity pension. Therefore, the appropriate price of the GLWB is important. In this study, we analyze the effect of the selection of the stock return model on the calculation of GLWB price by using bayesian statistical method. The maximum likelihood estimation method used in previous studies does not reflect the uncertainty of the estimated parameters. However, if we use bayesian inference, we can easily reflect the uncertainty of the estimated parameters. In addition, we calculated the appropriate option prices by applying the estimated parameters and the GLWB price calculation formula, and then analyzed the factors affecting the GLWB price calculation by conducting the sensitivity analysis according to the changes of the fundamental variables.
