Work

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

Year: 2008

Type: article

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.

Source: Astin Bulletin

DOI: 10.1017/s0515036100015282

Author: Eric R. Ulm

Institution: Georgia State University

Language: English

Topic: Insurance, Mortality, Demography, Risk Management

Subfield: Demography

Field: Social Sciences

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2118229774

FWCI: 0.897

Cites: 10

Cited by: 32

Related to: 10