2 papers
q-fin.PR2019
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
econ.GN2019
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar Arandjelović, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…