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).
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Ballotta, L., Haberman, S.: The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case. Insur. Math. Econ. 38, 195–214 (2006)
Bauer, D., Kling, A., Russ, J.: A universal pricing framework for guaranteed minimum benefits in variable annuities. ASTIN Bull. 38, 621–651 (2008)
Boyarchenko, S., Levendorkiě, S.: Non-Gaussian Merton-Black-Scholes Theory, vol. 9 of Advanced Series on Statistical Science and Applied Probability. World Scientific, London (2002)
Hardy, M.: Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance. John Wiley, New Jersey (2003)
Kou, S.G.: A jump-diffusion model for option pricing. Manag. Sci. 48, 1086–1101 (2002)
Le Courtois, O., Quittard-Pinon, F.: Fair valuation of participating life insurance contracts with jump risk. Geneva Risk Insur. Rev. 33, 106–136 (2008)
Melnikov, A., Romaniuk, Y.: Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk-management with unit-linked contracts. Insur. Math. Econ. 39, 310–329 (2006)
Milevsky, M.A., Posner, S.E.: The titanic option: valuation of the guaranteed minimum death benefit in variable annuities and mutual funds. J. Risk Insur. 68, 91–126 (2001)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2010 Springer-Verlag Italia
About this paper
Cite this paper
Quittard-Pinon, F., Randrianarivony, R. (2010). Fair costs of guaranteed minimum death benefit contracts. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-1481-7_29
Download citation
DOI: https://doi.org/10.1007/978-88-470-1481-7_29
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1480-0
Online ISBN: 978-88-470-1481-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)