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Monday, March 17, 2014

**Abstract:** Nowadays, many products sold by life insurance companies are investment funds wrapped around with (exotic) options and guarantees. These financial options and guarantees should be priced, hedged, and reserved using modern option-pricing theory, which involves sophisticated mathematical concepts such as Brownian motion, stochastic differential equation, and so on. This talk will show that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics simplifies to an elementary calculus exercise.