Max-min optimization problem for variable annuities pricing (Q3467598)
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scientific article; zbMATH DE number 6538906
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| default for all languages | No label defined |
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| English | Max-min optimization problem for variable annuities pricing |
scientific article; zbMATH DE number 6538906 |
Statements
MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING (English)
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3 February 2016
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variable annuities
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insurance
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indifference pricing
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utility maximization
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backward stochastic differential equations
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0.8417815566062927
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0.8124278783798218
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0.8025481700897217
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0.8021833896636963
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0.8004608750343323
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