Fair costs of guaranteed minimum death benefit contracts

François Quittard-Pinon and Rivo Randrianarivony
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François Quittard-Pinon: Institut de Science Financière et d’ssurances
Rivo Randrianarivony: Institut de Science Financière et d’ssurances

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2010, pp 283-293 from Springer

Abstract: 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).

Keywords: life insurance contracts; variable annuities; guaranteed minimum death benefit; stochastic interest rates; jump diffusion models; mortality models (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-1481-7_29

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DOI: 10.1007/978-88-470-1481-7_29

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