Indifference fee rate for variable annuities
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Publication:4585679
DOI10.1080/1350486X.2016.1243011zbMATH Open1396.91295OpenAlexW4301097284MaRDI QIDQ4585679FDOQ4585679
Authors: Etienne Chevalier, Thomas Lim, Ricardo Romo Romero 
Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://hal.science/hal-01017157
Recommendations
- Max-min optimization problem for variable annuities pricing
- State-dependent fees for variable annuity guarantees
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Optimal fee structure of variable annuities
- Pricing and hedging of variable annuities with state-dependent fees
backward stochastic differential equationstochastic controlutility maximizationvariable annuitiesindifference pricing
Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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- Backward Stochastic Differential Equations in Finance
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- Uniqueness result for the BSDE whose generator is monotonic in \(y\) and uniformly continuous in \(z\)
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- Credit risk: Modelling, valuation and hedging
- Fair valuation of participating policies with surrender options and regime switching
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- Exponential utility maximization in an incomplete market with defaults
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- Reset and withdrawal rights in dynamic fund protection
- Max-min optimization problem for variable annuities pricing
Cited In (6)
- Max-min optimization problem for variable annuities pricing
- Variable annuities: market incompleteness and policyholder behavior
- A model-point approach to indifference pricing of life insurance portfolios with dependent lives
- Insurance-finance arbitrage
- Optimal fee structure of variable annuities
- The time of deducting fees for variable annuities under the state-dependent fee structure
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