Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - HAL - 2014
, fixed at the beginning of the contract, that is continuously taken from the associated account. We use a utility … insurer i.e. when the insured makes the withdrawals that minimize the expected utility of the insurer. To compute this … indifference fee rate, we link the utility maximization in the worst case for the insurer to a sequence of maximization and …