Optimal surrender strategies for equity-indexed annuity investors
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Publication:1003810
DOI10.1016/J.INSMATHECO.2008.08.006zbMath1156.91379OpenAlexW2085309798MaRDI QIDQ1003810
Publication date: 4 March 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.006
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (10)
Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Optimal surrender strategies for equity-indexed annuity investors with partial information ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age? ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
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