Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
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Publication:5851724
DOI10.1080/13504860903075464zbMath1189.91066OpenAlexW2031958274MaRDI QIDQ5851724
A. C. Bélanger, Peter A. I. Forsyth, George Labahn
Publication date: 25 January 2010
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860903075464
viscosity solutionimpulse controlvariable annuitiesfully implicit penalty methodguaranteed minimum death benefit (GMDB)
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Impulsive optimal control problems (49N25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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