Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion
Recently, the valuation of variable annuity products has become a hot topic in actuarial science. In this paper, we use the Fourier cosine series expansion (COS) method to value the guaranteed minimum death benefit (GMDB) products. We first express the value of GMDB by the discounted density functio...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-09-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/7/9/835 |