EconPapers    
Economics at your fingertips  
 

Randomization and the valuation of guaranteed minimum death benefits

Griselda Deelstra and Peter Hieber

European Journal of Operational Research, 2023, vol. 309, issue 3, 1218-1236

Abstract: In this article, we focus on death-linked contingent claims (GMDBs) paying a random financial return at a random time of death in the general case where financial returns follow a regime switching model with two-sided phase-type jumps. We approximate the distribution of the remaining lifetime by either a series of Erlang distributions or a Laguerre series expansion, whose capability to fit the tail of the observed mortality data turns out to be much better than the commonly used series of exponential distributions.

Keywords: Risk analysis; Variable annuities; Erlangization; Regime switching; Phase-type distributions (search for similar items in EconPapers)
JEL-codes: G11 G22 G23 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221723001108
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236

DOI: 10.1016/j.ejor.2023.01.059

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236