Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws

DOI10.2143/AST.38.2.2033353zbMath1256.91035OpenAlexW4230263871MaRDI QIDQ3634591

Eric R. Ulm

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.2.2033353

Mathematics Subject Classification ID

Related Items (23)

Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation ⋮ Analytic valuation of GMDB options with utility based asset allocation ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ Applications of central limit theorems for equity-linked insurance ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes ⋮ First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities ⋮ Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal ⋮ LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior ⋮ Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws ⋮ Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality ⋮ The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Valuing equity-linked death benefits in general exponential Lévy models ⋮ Variable annuity pricing, valuation, and risk management: a survey

Cites Work

• Pricing options under stochastic interest rates: a new approach

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