Publisher： Cambridge University Press
E-ISSN： 1783-1350|38|2|543-563
ISSN： 0515-0361
Source： ASTIN Bulletin, Vol.38, Iss.2, 2008-11, pp. : 543-563
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Abstract
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.
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