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

DOI10.1134/S1995080215020109zbMath1335.91082MaRDI QIDQ748243

Bangwon Ko, Taehan Bae

Publication date: 20 October 2015

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

zbMATH Keywords

phase-type distributionroll-upBlack-Scholes option pricing formulaGMDB

Mathematics Subject Classification ID

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

Related Items (2)

Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing equity-linked life insurance with endogenous minimum guarantees
• A subordinated Markov model for stochastic mortality
• Actuarial Mathematics for Life Contingent Risks
• Pricing of Unit-linked Life Insurance Policies
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Markov Aging Process and Phase-Type Law of Mortality
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