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

Published online by Cambridge University Press:  17 April 2015

Eric R. Ulm
Eric R. Ulm*
Affiliation:
Department of Risk Management and Insurance J. Mack Robinson College of Business, Georgia State University, Atlanta, GA. Tel.: 404-413-7485. E-mail: inseuu@langate.gsu.edu.
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Abstract

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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.

Keywords

Guaranteed Annuity OptionsBlack-Scholes Equation
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 2 , November 2008 , pp. 543 - 563
Copyright
Copyright © ASTIN Bulletin 2008

Footnotes

1

Eric Ulm, FSA, is an Assistant Professor in the Department of Risk Management and Insurance, J. Mack Robinson College of Business, Georgia State University, Atlanta, GA. Phone: 404-413-7485. E-mail: inseuu@langate.gsu.edu. Some work performed while at the University of Central Florida, Orlando, FL.

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