Optimal surrender strategies for equity-indexed annuity investors with partial information
From MaRDI portal
Publication:449377
DOI10.1016/j.spl.2012.03.021zbMath1246.91121OpenAlexW2032413211MaRDI QIDQ449377
Hailiang Yang, Jiaqin Wei, Rong-Ming Wang
Publication date: 30 August 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/172496
Related Items (5)
A stochastic flows approach for asset allocation with hidden economic environment ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal selling of an asset under incomplete information
- Optimal stopping behavior of equity-linked investment products with regime switching
- Optimal surrender strategies for equity-indexed annuity investors
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- Whether to sell or hold a stock
- Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
- Comment on “Investment Timing Under Incomplete Information”
- Optimal Stopping and the American Put
- ON THE AMERICAN OPTION PROBLEM
- Investment Timing Under Incomplete Information
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Valuing Equity-Indexed Annuities
This page was built for publication: Optimal surrender strategies for equity-indexed annuity investors with partial information
