ABSTRACT
We study guaranteed minimum death benefit (GMDB) life insurance contracts where the benefit is paid upon the insured’s death over the life of the contract. The payoff process of a GMDB contract with a constant guarantee is given by U t : = max ( K , S t ) , f o r t ∈ R : = { 1 , 2 , . . . , T } , $$ U_{t} : = \max (K, S_{t} ), {\text for} t \in R: = \{ 1, 2,..., T\} , $$ https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9781315118505/6befe1c9-a2f5-4407-a7d2-aff70ef0dad0/content/math7_1.tif"/>
