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variable annuities

Thursday, June 14, 2018 - 11:00am - 11:50am
Hailiang Yang (University of Hong Kong)
Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation of
the expected discounted value of a payment at the time of death. The payment depends on the price of a stock at that
time and possibly also on the history of the stock price. If the payment turns out to be the payoff of an option,
we call the contract for the payment a (life) contingent option. Because each time-until-death distribution can be approximated
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