Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
type: Item
instance of: scholarly article
title: Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
zbMATH Open document ID: 1335.91082
DOI: 10.1134/S1995080215020109
author: Bangwon Ko
author: Taehan Bae
published in: Lobachevskii Journal of Mathematics
publication date: 2015-10-20T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6496329
zbMATH Keywords: Black-Scholes option pricing formula
zbMATH Keywords: GMDB
zbMATH Keywords: roll-up
zbMATH Keywords: phase-type distribution
MaRDI profile type: Publication
cites work: Q4864600
cites work: Pricing of Unit-linked Life Insurance Policies
cites work: Q3026011
cites work: Q3838095
cites work: Pricing equity-linked life insurance with endogenous minimum guarantees
cites work: The pricing of options and corporate liabilities
cites work: Q3773148
cites work: Actuarial Mathematics for Life Contingent Risks
cites work: Q5480304
cites work: “Stochastic Annuities,” Daniel Dufresne, January 2007
cites work: Markov Aging Process and Phase-Type Law of Mortality
cites work: A subordinated Markov model for stochastic mortality
cites work: Q3923308
cites work: Q4230625
description: scientific article; zbMATH DE number 6496329