Title

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

Authors

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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