Indifference pricing of pure endowments via BSDEs under partial information

DOI10.1080/03461238.2020.1790030zbMath1454.91171arXiv1804.00223OpenAlexW3040785838MaRDI QIDQ5140641

Claudia Ceci, Katia Colaneri, Alessandra Cretarola

Publication date: 16 December 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.00223

zbMATH Keywords

backward stochastic differential equationspartial informationindifference pricingpure endowment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05)

Related Items (1)

Optimal investment and consumption strategies for pooled annuity with partial information

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