Fair costs of guaranteed minimum death benefit contracts

in Mathematical and Statistical Methods for Actuarial Sciences and Finance

Quittard-Pinon, François (1945-....) ; Randrianarivony, Rivo

CORAZZA, Marco. Directeur de publication ; PIZZI, Claudio. Directeur de publication

Springer 2010 - 283-293 P.

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 extendsMilevsky and Posner (2001).

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