Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality

DOI10.1134/S1995080215020109zbMATH Open1335.91082MaRDI QIDQ748243FDOQ748243

Authors: Bangwon Ko, Taehan Bae 

Publication date: 20 October 2015

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Recommendations

• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Application of the phase-type mortality law to life contingencies and risk management
• Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws

zbMATH Keywords

phase-type distributionroll-upBlack-Scholes option pricing formulaGMDB

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
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• Markov aging process and phase-type law of mortality
• Investment guarantees: Modeling and risk management for equity-linked life insurance
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• Actuarial Mathematics for Life Contingent Risks
• Pricing of Unit-linked Life Insurance Policies
• A subordinated Markov model for stochastic mortality
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Pricing equity-linked life insurance with endogenous minimum guarantees

Cited In (7)

• Randomization and the valuation of guaranteed minimum death benefits
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
• Application of the phase-type mortality law to life contingencies and risk management
• Pricing some life-contingent lookback options under regime-switching Lévy models
• Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws

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