Valuing equity-linked death benefits and other contingent options: a discounted density approach

DOI10.1016/j.insmatheco.2012.03.001zbMath1284.91233MaRDI QIDQ2444708

Hailiang Yang, Hans U. Gerber, Elias S. W. Shiu

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/172493

zbMATH Keywords

option pricing; variable annuities; equity-linked death benefits; exponential stopping; discounted density; minimum guaranteed death benefits

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work