An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal stochastic control framework for determining the cost of hedging of variable annuities |
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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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