ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS
Abbreviated Journal Title
Guaranteed Annuity Options; Black-Scholes Equation; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, ; Mathematical Methods; Statistics & Probability
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.
"ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS" (2008). Faculty Bibliography 2000s. 1078.