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

DOI10.1016/J.INSMATHECO.2014.06.003MaRDI QIDQ2513613zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

partial differential equationsLaplace transformsvariable annuitiesclosed form solutionsguaranteed 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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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3448056 (Why is no real title available?)
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Knowledge Elicitation of Gompertz' Law of Mortality
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• The Calculus of Retirement Income
• The Mathematics of Financial Derivatives
• Valuing equity-linked death benefits and other contingent options: a discounted density approach

Cited in

(18)

• scientific article; zbMATH DE number 2148143 (Why is no real title available?)
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Equity-linked guaranteed minimum death benefits with dollar cost averaging
• Applications of central limit theorems for equity-linked insurance
• Longevity risk and retirement income tax efficiency: a location spending rate puzzle
• Analytic valuation of GMDB options with utility based asset allocation
• Valuing equity-linked death benefits in general exponential Lévy models
• Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
• Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
• Variable annuity pricing, valuation, and risk management: a survey
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• 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
• Valuation of cliquet-style guarantees with death benefits
• An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
• Valuing guaranteed equity-linked contracts by Laguerre series expansion

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