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Fair costs of guaranteed minimum death benefit contracts

  • François Quittard-Pinon
  • Rivo Randrianarivony
Conference paper

Abstract

The authors offer a new perspective on the domain of guaranteed minimum death benefit contracts. These products have the particular feature of offering investors a guaranteed capital upon death. A complete methodology based on the generalised Fourier transform is proposed to investigate the impacts of jumps and stochastic interest rates. This paper thus extends Milevsky and Posner (2001).

Key words

life insurance contracts variable annuities guaranteed minimum death benefit stochastic interest rates jump diffusion models mortality models 

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References

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Copyright information

© Springer-Verlag Italia 2010

Authors and Affiliations

  • François Quittard-Pinon
    • 1
    • 2
    • 3
  • Rivo Randrianarivony
    • 1
  1. 1.Institut de Science Financière et d’ssurancesLyonFrance
  2. 2.Université de LyonLyonFrance
  3. 3.EMLyon Business SchoolLyonFrance

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