Optimal surrender strategies for equity-indexed annuity investors with partial information
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Publication:449377
DOI10.1016/J.SPL.2012.03.021zbMATH Open1246.91121OpenAlexW2032413211MaRDI QIDQ449377FDOQ449377
Authors: Jiaqin Wei, Hailiang Yang, Rongming Wang 
Publication date: 30 August 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/172496
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Cites Work
- Investment guarantees: Modeling and risk management for equity-linked life insurance
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- Optimal Stopping and the American Put
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- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
- Comment on “Investment Timing Under Incomplete Information”
- Investment Timing Under Incomplete Information
- Optimal selling of an asset under incomplete information
- ON THE AMERICAN OPTION PROBLEM
- Optimal surrender strategies for equity-indexed annuity investors
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- Whether to sell or hold a stock
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Optimal stopping behavior of equity-linked investment products with regime switching
Cited In (8)
- A stochastic flows approach for asset allocation with hidden economic environment
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- Optimal stopping behavior of equity-linked investment products with regime switching
- Optimal surrender strategies for equity-indexed annuity investors
- Optimal entry decision of unemployment insurance under partial information
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
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