Gerber, Hans U.; Shiu, Elias S.W.; Yang, Hailiang - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 615-623
The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate...