Pricing equity-linked pure endowments via the principle of equivalent utility.

DOI10.1016/S0167-6687(03)00166-5zbMath1103.91370MaRDI QIDQ1423334

Virginia R. Young, Kristen S. Moore

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Hamilton--Jacobi--Bellman equationExpected utilityBlack--Scholes equationEquity-indexed annuityIndifference price

Mathematics Subject Classification ID

Related Items (13)

Optimal dividend and reinsurance in the presence of two reinsurers ⋮ Pricing equity-linked pure endowments with risky assets that follow Lévy processes ⋮ Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Optimal surrender strategies for equity-indexed annuity investors with partial information ⋮ Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle ⋮ Optimal dividend problem with a nonlinear regular-singular stochastic control ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds ⋮ Pricing Weather Derivatives Using the Indifference Pricing Approach

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Far Field Boundary Conditions for Black--Scholes Equations
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• European Option Pricing with Transaction Costs
• Risk Aversion in the Small and in the Large
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Valuing Equity-Indexed Annuities

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