Indifference fee rate for variable annuities
Etienne Chevalier, Thomas Lim and Ricardo Romo Romero
| 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 | Hedging | Optionspreistheorie | Option pricing theory | Finanzmathematik | Mathematical finance | Unvollkommener Markt | Incomplete market | Analysis | Mathematical analysis | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2016.1243011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011704242