An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570)
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scientific article; zbMATH DE number 6970522
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| default for all languages | No label defined |
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| English | An optimal stochastic control framework for determining the cost of hedging of variable annuities |
scientific article; zbMATH DE number 6970522 |
Statements
An optimal stochastic control framework for determining the cost of hedging of variable annuities (English)
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1 November 2018
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optimal control
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GLWB pricing
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PDE approach
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regime switching
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no-arbitrage
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withdrawal strategies
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0.8842821717262268
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0.8096649050712585
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0.7982608079910278
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0.7897695302963257
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0.7836284041404724
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