On the free boundary of an annuity purchase

DOI10.1007/s00780-018-00379-8zbMath1428.91015arXiv1707.09494OpenAlexW2739959273WikidataQ61821195 ScholiaQ61821195MaRDI QIDQ1711720

Gabriele Stabile, Tiziano De Angelis

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.09494

zbMATH Keywords

free boundary problemoptimal stoppingvariational approachannuitiesmortality force

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Actuarial mathematics (91G05)

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