Optimal stopping behavior of equity-linked investment products with regime switching

DOI10.1016/J.INSMATHECO.2005.06.005MaRDI QIDQ817296zbMATH OpenOpenAlexFDO

Authors K. C. Cheung, Hailiang Yang

Publication date 8 March 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.06.005

zbMATH Keywords

stochastic ordersutility functionequity-linked productsMarkov regime switching modeloptimal surrender time

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(6)

• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• Application of data clustering and machine learning in variable annuity valuation
• Optimal surrender strategies for equity-indexed annuity investors with partial information
• Stochastic modeling and fair valuation of drawdown insurance
• Optimal design of equity-linked products with a probabilistic constraint
• Optimal surrender strategies for equity-indexed annuity investors

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