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- Title
ANALYTIC SOLUTION FOR RETURN OF PREMIUM AND ROLLUP GUARANTEED MINIMUM DEATH BENEFIT OPTIONS UNDER SOME SIMPLE MORTALITY LAWS.
- Authors
ULM, ERIC R.
- 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.
- Subjects
MATHEMATICS in life insurance; SURVIVORS' benefits; ANNUITIES underwriting; DIFFERENTIAL equations
- Publication
Astin Bulletin, 2008, Vol 38, Issue 2, p543
- ISSN
0515-0361
- Publication type
Article
- DOI
10.1017/S0515036100015282