Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
Abstract Variable Annuities (VAs) provide policyholders with market participation while
offering additional protection from insurers. In this article, we develop a mathematical model …
offering additional protection from insurers. In this article, we develop a mathematical model …
On Lipschitz continuous optimal stop** boundaries
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stop**
boundary of a class of problems with state space 0,T*R^d, d≥1. To the best of our …
boundary of a class of problems with state space 0,T*R^d, d≥1. To the best of our …
Optimal retirement choice under age-dependent force of mortality
G Ferrari, S Zhu - 2023 - econstor.eu
This paper examines the retirement decision, optimal investment, and consumption
strategies under an age-dependent force of mortality. We formulate the optimization problem …
strategies under an age-dependent force of mortality. We formulate the optimization problem …
A problem of finite-horizon optimal switching and stochastic control for utility maximization
Z Yang, J Jeon - ar** Methods for Investment Decisions: A Literature Review
Z Liu, Y Mu - International Journal of Financial Studies, 2022 - mdpi.com
Investors decide the best time to take a given action by maximizing their utility function while
taking into account current information and the underlying process in the optimal stop** …
taking into account current information and the underlying process in the optimal stop** …
Callable barrier reverse convertible securities
We study the valuation of callable barrier reverse convertible contracts written on one or two
underlying asset prices. We assume the issuer of the contract can call early redemption at …
underlying asset prices. We assume the issuer of the contract can call early redemption at …
The optimal time to buy and hold stock in a reversal
X Han, Z Liu - International Journal of Finance & Economics, 2024 - Wiley Online Library
Investors cannot anticipate a return reversal in the stock market. Therefore, choosing the
optimal time to buy and hold a stock is vital. This paper formulates a disorder problem using …
optimal time to buy and hold a stock is vital. This paper formulates a disorder problem using …
The American put option with a random time horizon
Z Wu, L Li - ar** rules to be made …
Optimal investment, retirement, and life insurance with consumption ratcheting and time-inhomogeneous utility
J **ng, J Ma - Science China Mathematics, 2025 - Springer
In this paper, we study a portfolio selection problem of an investor with a retirement option,
who has possibility to buy life insurance and does not tolerate any decline in consumption …
who has possibility to buy life insurance and does not tolerate any decline in consumption …
On variable annuities with surrender charges
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the
holder's right to an early termination of the contract. We obtain a rigorous pricing formula and …
holder's right to an early termination of the contract. We obtain a rigorous pricing formula and …