A variational inequality approach to financial valuation of retirement benefits based on salary

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

zbMATH Keywords

free boundarystochastic differential equationsoptimal time

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35)

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• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
• Obstacle problem for arithmetic Asian options
• Optimal early retirement near the expiration of a pension plan
• 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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