An analytical study of participating policies with minimum rate guarantee and surrender option
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Publication:2120540
DOI10.1007/s00780-022-00471-0zbMath1484.91379arXiv2004.06982OpenAlexW4210424798MaRDI QIDQ2120540
Tiziano De Angelis, Gabriele Stabile, Maria B. Chiarolla
Publication date: 1 April 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.06982
optimal stoppingsurrender optionfree-boundary problemsparticipating policiesminimum rate guaranteesolvency requirementstop-loss boundarytoo-good-to-persist boundary
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Actuarial mathematics (91G05)
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