Articlebronze2008

Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws

32 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

Abstract

Much attention has been focused recently on the issue of valuing guaranteed minimum death benefits embedded in annuity contracts. These benefits resemble a sequence of put options and their value should obey a differential equation similar to the Black-Scholes equation for simple put options. This paper derives a number of analytic solutions to this equation for a number of simple mortality laws.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 32 citations exist upstream.

References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1995The Mathematics of Financial Derivatives 1986Actuarial Mathematics.2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds 1989Pricing Stock and Bond Options when the Default-Free Rate is Stochastic

Cited by

2012Valuing equity-linked death benefits and other contingent options: A discounted density approach 2019Valuing equity-linked death benefits in general exponential Lévy models 2019Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion 2015VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK 2019Valuing guaranteed equity-linked contracts by Laguerre series expansion 2014Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws 2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.