37 citations · 171 across the 23 of their papers we have counts for
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q-fin.PM2009★ 2 cited
A policyholder's utility indifference valuation model for the guaranteed annuity option
Matheus R Grasselli, Sebastiano Silla
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.…
q-fin.PR2009★ 1 cited
Indifference price with general semimartingales
Sara Biagini, Marco Frittelli, Matheus R. Grasselli
For utility functions finite valued on , we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The…