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

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Cites Work

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• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Knowledge Elicitation of Gompertz' Law of Mortality
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
• The Mathematics of Financial Derivatives
• The Calculus of Retirement Income

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