Max-min optimization problem for variable annuities pricing

DOI10.1142/S0219024915500533MaRDI QIDQ3467598zbMATH OpenFDO

Authors Christophette Blanchet-Scalliet, Etienne Chevalier, Idris Kharroubi, Thomas Lim

Publication date 3 February 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024915500533

zbMATH Keywords

backward stochastic differential equationsutility maximizationinsurancevariable annuitiesindifference pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

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Cites work

• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• A decomposition approach for the discrete-time approximation of FBSDEs with a jump
• A note on utility based pricing and asymptotic risk diversification
• Guaranteed minimum withdrawal benefit in variable annuities
• Indifference fee rate for variable annuities
• Regression-based algorithms for life insurance contracts with surrender guarantees
• Valuing the guaranteed minimum death benefit clause with partial withdrawals

Cited in

(3)

• Variable annuities: market incompleteness and policyholder behavior
• Insurance-finance arbitrage
• Indifference fee rate for variable annuities

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