Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality (Q748243)
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scientific article; zbMATH DE number 6496329
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| default for all languages | No label defined |
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| English | Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality |
scientific article; zbMATH DE number 6496329 |
Statements
Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality (English)
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20 October 2015
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Black-Scholes option pricing formula
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GMDB
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roll-up
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phase-type distribution
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0.8105490803718567
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0.7776657938957214
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0.7724190354347229
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0.7706220746040344
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