Indifference fee rate for variable annuities

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

zbMATH Keywords

backward stochastic differential equationstochastic controlutility maximizationvariable annuitiesindifference pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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
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Cites work

• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Backward Stochastic Differential Equations in Finance
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• Continuous exponential martingales and BMO
• Credit risk: Modelling, valuation and hedging
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Exponential utility maximization in an incomplete market with defaults
• Fair valuation of participating policies with surrender options and regime switching
• Financial valuation of guaranteed minimum withdrawal benefits
• Guaranteed minimum withdrawal benefit in variable annuities
• Max-min optimization problem for variable annuities pricing
• Mean-variance hedging on uncertain time horizon in a market with a jump
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Pricing via utility maximization and entropy.
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reset and withdrawal rights in dynamic fund protection
• Uniqueness result for the BSDE whose generator is monotonic in \(y\) and uniformly continuous in \(z\)
• Utility maximization in incomplete markets
• Valuing the guaranteed minimum death benefit clause with partial withdrawals

Cited in

(6)

• Optimal fee structure of variable annuities
• The time of deducting fees for variable annuities under the state-dependent fee structure
• A model-point approach to indifference pricing of life insurance portfolios with dependent lives
• Insurance-finance arbitrage
• Max-min optimization problem for variable annuities pricing
• Variable annuities: market incompleteness and policyholder behavior

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