Optimal fee structure of variable annuities

DOI10.1016/J.INSMATHECO.2021.10.003MaRDI QIDQ2665877zbMATH OpenOpenAlexFDO

Authors Gu Wang, Bin Zou

Publication date 19 November 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.10.003

zbMATH Keywords

barrier strategyfree boundaryHamilton-Jacobi-Bellman equationquasi-variational inequalitiesreflected stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

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Cites work

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Cited in

(14)

• Stackelberg differential game for insurance under model ambiguity
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Pricing and hedging of variable annuities with state-dependent fees
• Are flexible premium variable annuities under-priced?
• Max-min optimization problem for variable annuities pricing
• Indifference fee rate for variable annuities
• State-dependent fees for variable annuity guarantees
• Pricing bounds and bang-bang analysis of the Polaris variable annuities
• Impact of flexible periodic premiums on variable annuity guarantees
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• An optimal withdrawal problem arising from pension fund embedded with income drawdown option
• Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
• Equilibrium strategies for singular dividend control problems under the mean-variance criterion
• A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders

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