Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

DOI10.1016/j.insmatheco.2018.09.006zbMath1417.91274OpenAlexW2892527616MaRDI QIDQ1622514

Junkee Jeon, Minsuk Kwak

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.006

zbMATH Keywords

Mellin transformfree boundary problemvariable annuitiesoptimal surrender strategypath-dependent guarantee

Mathematics Subject Classification ID

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