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

DOI10.1016/J.INSMATHECO.2010.01.009zbMATH Open1231.91432OpenAlexW2037625795MaRDI QIDQ659261FDOQ659261

Authors 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 expansionCEV modelstochastic optimal controldefined contribution pension planLegendre transform

Mathematics Subject Classification ID

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

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Cites work

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• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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Cited in

(24)

• Legendre transform-dual solution for investment and consumption problem under the Vasicek model
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
• Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
• Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
• Optimal portfolio and consumption rule with a CIR model under HARA utility
• Family optimal investment strategy for a random household expenditure under the CEV model
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
• The \textit{CEV} model and its application in a study of optimal investment strategy
• A general optimization framework for the annuity contracts with multiscale stochastic volatility
• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• Optimal investment strategy under the CEV model with stochastic interest rate
• Classes of elementary function solutions to the CEV model I
• The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
• Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
• Constant elasticity of variance model and analytical strategies for annuity contracts
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
• Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
• Inter‐temporal mutual‐fund management

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