Indifference fee rate for variable annuities
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Publication:4585679
DOI10.1080/1350486X.2016.1243011zbMath1396.91295OpenAlexW4301097284MaRDI QIDQ4585679
Thomas Lim, Etienne Chevalier, Ricardo Romo Romero
Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://hal.science/hal-01017157
stochastic controlbackward stochastic differential equationutility maximizationvariable annuitiesindifference pricing
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Related Items (3)
MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Variable annuities: market incompleteness and policyholder behavior
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