Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process

DOI10.1016/j.insmatheco.2017.09.002zbMath1397.91293OpenAlexW2754202923MaRDI QIDQ1681092

Xiaoqing Liang, Yi Lu

Publication date: 23 November 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equationlife insurancepartial integro-differential equationshot-noise processindifference pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Indifference pricing of pure endowments via BSDEs under partial information ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

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