Fair costs of guaranteed minimum death benefit contracts
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 wordslife insurance contracts variable annuities guaranteed minimum death benefit stochastic interest rates jump diffusion models mortality models
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