Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
DOI10.1016/J.INSMATHECO.2014.06.003zbMATH Open1304.91133OpenAlexW2061453682MaRDI QIDQ2513613FDOQ2513613
Authors: Eric R. Ulm 
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.003
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Cites Work
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Title not available (Why is that?)
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Title not available (Why is that?)
- The Mathematics of Financial Derivatives
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- The Calculus of Retirement Income
- Knowledge Elicitation of Gompertz' Law of Mortality
Cited In (18)
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Variable annuity pricing, valuation, and risk management: a survey
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Longevity risk and retirement income tax efficiency: a location spending rate puzzle
- Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
- Title not available (Why is that?)
- Analytic valuation of GMDB options with utility based asset allocation
- Valuation of cliquet-style guarantees with death benefits
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Applications of central limit theorems for equity-linked insurance
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
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