Abstract
The purpose of this paper is to investigate equity-linked death benefits for joint alive and last survivor individuals. Utilizing Farlie–Gumbel–Morgenstern (FGM) type dependency modeling framework, we first analyze the joint distribution of the couple (joint alive and last survival density) when marginal distributions follow mixed exponentials and weighted exponentials distributions. Then, we derive the price of the guaranteed minimum death benefit (GMDB) product. In addition, we provide closed analytical expressions of the price of some financial contingent claim contracts (classical and exotic options). Furthermore, we present some numerical results to support our theoretical results. We show in our numerical example that it is important to model the dependency between two lives (couple) since the price changes as the copula parameter changes.
Subject
Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting
Reference19 articles.
1. Pricing some life-contingent lookback options under regime-switching Lévy models;Ai;Journal of Computational and Applied Mathematics,2022
2. Borodin, Andrei N., and Salminen, Paavo (2002). Handbook of Brownian Motion-Facts and Formulae, Birkhäuser.
3. Brown, Jeffrey R., and Poterba, James M. (1999). Joint Life Annuities and Annuity Demand by Married Couples, National Bureau of Economic Research.
4. A new method of pricing lookback options;Buchen;Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics,2005
5. Chesneau, Christophe, Kumar, Vijay, Khetan, Mukti, and Arshad, Mohd (2022). On a Modified Weighted Exponential Distribution with Applications. Mathematical and Computational Applications, 27.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献