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).
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© 2010 Springer-Verlag Italia
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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
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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
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