Max-min optimization problem for variable annuities pricing
Christophette Blanchet-Scalliet (Institut Camille Jordan, Université de Lyon, Ecole Centrale de Lyon, CNRS UMR, Ecully, France), Etienne Chevalier (LaMME, Université d’Evry Val d’Essonne, UMR CNRS, Evry, France), Idris Kharroubi (CEREMADE, Université Paris Dauphine, CNRS UMR, Crest, Paris, France), Thomas Lim (LaMME, ENSIIE, UMR CNRS, Evry, France)
| Year of publication: |
December 2015
|
|---|---|
| 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 | Optionspreistheorie | Option pricing theory | Hedging | Private Altersvorsorge | Private retirement provision | Analysis | Mathematical analysis | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024915500533 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419373