Barton

Bowers

Eric R. Ulm

Hardy

Milevsky

Much attention has been focused recently on the issue of valuing guaranteed minimum death benefits embedded in annuity contracts. These benefits resemble a sequence of put options and their value should obey a differential equation similar to the Black-Scholes equation for simple put options. This paper derives a number of analytic solutions to this equation for a number of simple mortality laws.</jats:p

Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws

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