ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS

    Authors

    E. R. Ulm

    Comments

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    Abbreviated Journal Title

    Astin Bull.

    Keywords

    Guaranteed Annuity Options; Black-Scholes Equation; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, ; Mathematical Methods; Statistics & Probability

    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.

    Journal Title

    Astin Bulletin

    Volume

    38

    Issue/Number

    2

    Publication Date

    1-1-2008

    Document Type

    Article

    Language

    English

    First Page

    543

    Last Page

    563

    WOS Identifier

    WOS:000261725400008

    ISSN

    0515-0361

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