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Article: Optimal surrender strategies for equity-indexed annuity investors with partial information
Title | Optimal surrender strategies for equity-indexed annuity investors with partial information |
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Authors | |
Keywords | Equity-Indexed Annuity Logarithmic Utility Optimal Stopping Partial Information Regime Switching |
Issue Date | 2012 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro |
Citation | Statistics And Probability Letters, 2012, v. 82 n. 7, p. 1251-1258 How to Cite? |
Abstract | In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To be more realistic, we consider a finite time horizon and assume that the Markov chain is unobservable. This leads to the optimal stopping problem with partial information. We give a representation of the value function and an integral equation satisfied by the boundary. In the Bayesian case which is a special case of our model, we obtain analytical results for the value function and the boundary. © 2012 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/172496 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.448 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Wei, J | en_US |
dc.contributor.author | Wang, R | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:48Z | - |
dc.date.available | 2012-10-30T06:22:48Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Statistics And Probability Letters, 2012, v. 82 n. 7, p. 1251-1258 | en_US |
dc.identifier.issn | 0167-7152 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172496 | - |
dc.description.abstract | In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To be more realistic, we consider a finite time horizon and assume that the Markov chain is unobservable. This leads to the optimal stopping problem with partial information. We give a representation of the value function and an integral equation satisfied by the boundary. In the Bayesian case which is a special case of our model, we obtain analytical results for the value function and the boundary. © 2012 Elsevier B.V. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro | en_US |
dc.relation.ispartof | Statistics and Probability Letters | en_US |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 2012, v. 82 n. 7, p. 1251-1258. DOI: 10.1016/j.spl.2012.03.021 | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Equity-Indexed Annuity | en_US |
dc.subject | Logarithmic Utility | en_US |
dc.subject | Optimal Stopping | en_US |
dc.subject | Partial Information | en_US |
dc.subject | Regime Switching | en_US |
dc.title | Optimal surrender strategies for equity-indexed annuity investors with partial information | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | en_US |
dc.identifier.doi | 10.1016/j.spl.2012.03.021 | en_US |
dc.identifier.scopus | eid_2-s2.0-84860120722 | en_US |
dc.identifier.hkuros | 218766 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84860120722&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 82 | en_US |
dc.identifier.issue | 7 | en_US |
dc.identifier.spage | 1251 | en_US |
dc.identifier.epage | 1258 | en_US |
dc.identifier.isi | WOS:000305493300006 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Wei, J=24438631900 | en_US |
dc.identifier.scopusauthorid | Wang, R=7405334582 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.citeulike | 10492028 | - |
dc.identifier.issnl | 0167-7152 | - |