An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts

DOI10.1016/j.insmatheco.2010.01.009zbMath1231.91432OpenAlexW2037625795MaRDI QIDQ659261

Jianwei Gao

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.009

zbMATH Keywords

asymptotic expansionstochastic optimal controlLegendre transformCEV modeldefined contribution pension plan

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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