Pricing variable annuity with surrender guarantee

DOI10.1016/j.cam.2021.113508zbMath1471.91463OpenAlexW3133713260MaRDI QIDQ2020572

Junkee Jeon, Minsuk Kwak

Publication date: 23 April 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113508

zbMATH Keywords

variable annuityoptimal surrenderdouble surrender regionsurrender guarantee

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

Related Items

Variational inequality arising from variable annuity with mean reversion environment, Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods, Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

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