MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING
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Publication:3467598
DOI10.1142/S0219024915500533zbMath1369.91079MaRDI QIDQ3467598
Etienne Chevalier, Thomas Lim, Idris Kharroubi, Christophette Blanchet-Scalliet
Publication date: 3 February 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
backward stochastic differential equationsinsuranceutility maximizationvariable annuitiesindifference pricing
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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