Title
ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS
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
ISSN
0515-0361
Recommended Citation
"ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS" (2008). Faculty Bibliography 2000s. 1078.
https://stars.library.ucf.edu/facultybib2000/1078
Comments
Authors: contact us about adding a copy of your work at STARS@ucf.edu