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dc.contributor.authorBlanchet-Scalliet, Christophette
dc.contributor.authorChevalier, Etienne
dc.contributor.authorKharroubi, Idris
dc.contributor.authorLim, Thomas
dc.date.accessioned2014-07-18T09:03:49Z
dc.date.available2014-07-18T09:03:49Z
dc.date.issued2015
dc.identifier.issn0219-0249
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13739
dc.language.isoenen
dc.subjectindifference pricing
dc.subjectbackward stochastic differential equation
dc.subjectutility maximization
dc.subjectinsurance
dc.subjectVariable annuities
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleMax-Min optimization problem for Variable Annuities pricing
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire de Mathématiques et Modélisation d'Evry (LaMME) http://stat.genopole.cnrs.fr/ CNRS : UMR8071 – Université d'Evry-Val d'Essonne – Institut national de la recherche agronomique (INRA) – Université Paris V - Paris Descartes – Université Paris-Est Créteil Val-de-Marne (UPEC) – ENSIIE;France
dc.contributor.editoruniversityotherInstitut Camille Jordan (ICJ) CNRS : UMR5208 – Université Claude Bernard - Lyon I (UCBL) – Ecole Centrale de Lyon – Institut National des Sciences Appliquées [INSA];France
dc.description.abstractenIn this paper, we study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts, namely guaranteed minimum death benefits and guaranteed minimum living benefits that allow the insured to withdraw money from the associated account. Here, the price of variable annuities corresponds to a fee, fixed at the beginning of the contract, that is continuously taken from the associated account. We use a utility indifference approach to determine the indifference fee rate. We focus on the worst case for the insurer, assuming that 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 minimization problems that can be computed recursively. This allows to provide an optimal investment strategy for the insurer when the insured follows the worst withdrawal strategy and to compute the indifference fee. We finally explain how to approximate these quantities via the previous results and give numerical illustrations of parameter sensitivity.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameInternational Journal of Theoretical and Applied Finance
dc.relation.isversionofjnlvol18
dc.relation.isversionofjnlissue8
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpagesn°1550053
dc.relation.isversionofdoi10.1142/S0219024915500533
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01017160
dc.relation.isversionofjnlpublisherWorld Scientific
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-10T14:15:23Z


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