A variational inequality approach to financial valuation of retirement benefits based on salary
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Publication:1409830
DOI10.1007/S007800100059zbMATH Open1029.91027OpenAlexW2032972744MaRDI QIDQ1409830FDOQ1409830
Authors: A. Friedman, Weixi Shen 
Publication date: 22 October 2003
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800100059
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35)
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- On the First Passage Time Under Regime-Switching with Jumps
- Optimal surrender strategies for equity-indexed annuity investors
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
- On the free boundary of an annuity purchase
- Free boundary and retirement benefits pricing in a jump-diffusion model
- The valuation of unit-linked policies with or without surrender options
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
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