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Fair costs of guaranteed minimum death benefit contracts

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • François Quittard-Pinon

    (Institut de Science Financière et d’ssurances
    Université de Lyon
    EMLyon Business School)

  • Rivo Randrianarivony

    (Institut de Science Financière et d’ssurances)

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).

Suggested Citation

  • François Quittard-Pinon & Rivo Randrianarivony, 2010. "Fair costs of guaranteed minimum death benefit contracts," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 283-293, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-1481-7_29
    DOI: 10.1007/978-88-470-1481-7_29
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