Utility indifference pricing of insurance contracts for home reversion plan under stochastic interest rate

zbMATH Open1277.91091MaRDI QIDQ2836969

Jingxiao Zhang, Lina Ma, D. Kannan

Publication date: 10 July 2013

Published in: Dynamic Systems and Applications (Search for Journal in Brave)

zbMATH Keywords

Markov modelHJB equationstochastic interest ratelong-term carehome reversion planindifference continuous annuity

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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