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Conference Paper: Valuing T-year contingent options
Title | Valuing T-year contingent options |
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Authors | |
Issue Date | 2011 |
Citation | The 2011 HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong, 9-10 December 2011. In Conference Program, 2011, p. 10-11 How to Cite? |
Abstract | We consider the problem of valuing Guaranteed Minimum Death Benefits (GMDB) in various variable annuity and equity-indexed annuity contracts. We assume that the life contingent options will expire at a fixed time T. By using a discounted density function approach, we provide closed for expressions for the values of the contingent options. In particular we show that the results in Ulm (2008) can be obtained easily using our approach. This talk is based on a joint paper with Hans Gerber and Elias Shiu. |
Description | Invited speaker |
Persistent Identifier | http://hdl.handle.net/10722/165737 |
DC Field | Value | Language |
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dc.contributor.author | Yang, H | en_US |
dc.contributor.author | Gerber, HU | en_US |
dc.contributor.author | Shiu, ESW | en_US |
dc.date.accessioned | 2012-09-20T08:22:47Z | - |
dc.date.available | 2012-09-20T08:22:47Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | The 2011 HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong, 9-10 December 2011. In Conference Program, 2011, p. 10-11 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/165737 | - |
dc.description | Invited speaker | - |
dc.description.abstract | We consider the problem of valuing Guaranteed Minimum Death Benefits (GMDB) in various variable annuity and equity-indexed annuity contracts. We assume that the life contingent options will expire at a fixed time T. By using a discounted density function approach, we provide closed for expressions for the values of the contingent options. In particular we show that the results in Ulm (2008) can be obtained easily using our approach. This talk is based on a joint paper with Hans Gerber and Elias Shiu. | - |
dc.language | eng | en_US |
dc.relation.ispartof | HKU-HKUST-Stanford Conference in Quantitative Finance Program 2011 | en_US |
dc.title | Valuing T-year contingent options | en_US |
dc.type | Conference_Paper | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.email | Gerber, HU: hans1196@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | - |
dc.identifier.hkuros | 210948 | en_US |
dc.identifier.spage | 10 | - |
dc.identifier.epage | 11 | - |