Indifference fee rate for variable annuities
Year of publication: |
September 2016
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Authors: | Chevalier, Etienne ; Lim, Thomas ; Romero, Ricardo Romo |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 278-308
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Subject: | Variable annuities | indifference pricing | stochastic control | utility maximization | backward stochastic differential equation | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Finanzmathematik | Mathematical finance | Private Altersvorsorge | Private retirement provision | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Lebensversicherung | Life insurance | Martingal | Martingale |
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