OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE

DOI10.4134/BKMS.B200296zbMath1475.91307OpenAlexW3144458276MaRDI QIDQ4991385

Junkee Jeon, Kyunghyun Park

Publication date: 3 June 2021

Full work available at URL: https://doi.org/10.4134/bkms.b200296

zbMATH Keywords

variable annuityoptimal surrender policy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Variable annuity with a surrender option under multiscale stochastic volatility

Cites Work

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• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Valuation of European continuous-installment options
• Optimal surrender policy for variable annuity guarantees
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Valuing equity-indexed annuities with icicled barrier options
• Hedging guarantees in variable annuities under both equity and interest rate risks

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