Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws

DOI10.1016/j.insmatheco.2014.06.003zbMath1304.91133OpenAlexW2061453682MaRDI QIDQ2513613

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

zbMATH Keywords

Laplace transformsclosed form solutionspartial differential equationsvariable annuitiesguaranteed minimum death benefits

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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