Max-min optimization problem for variable annuities pricing
Year of publication: |
December 2015
|
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Authors: | Blanchet-Scalliet, Christophette ; Chevalier, Etienne ; Kharroubi, Idris ; Lim, Thomas |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 8, p. 1-35
|
Subject: | Variable annuities | insurance | indifference pricing | utility maximization | backward stochastic differential equation | Lebensversicherung | Life insurance | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance | Private Altersvorsorge | Private retirement provision | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
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