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Document Details : Title: Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options under Some Simple Mortality Laws Author(s): ULM, Eric R. Journal: ASTIN Bulletin Volume: 38 Issue: 2 Date: November 2008 Pages: 543-563 DOI: 10.2143/AST.38.2.2033353 Abstract : Much attention has been focused recently on the issue of valuing guaranteed minimum death benefits embedded in annuity contracts. These benefits resemble a sequence of put options and their value should obey a differential equation similar to the Black-Scholes equation for simple put options. This paper derives a number of analytic solutions to this equation for a number of simple mortality laws. |
