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- Publisher Website: 10.1016/j.insmatheco.2005.06.005
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Article: Optimal stopping behavior of equity-linked investment products with regime switching
Title | Optimal stopping behavior of equity-linked investment products with regime switching |
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Authors | |
Keywords | Equity-Linked Products Markov Regime Switching Model Optimal Surrender Time Stochastic Orders Utility Function |
Issue Date | 2005 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2005, v. 37 n. 3, p. 599-614 How to Cite? |
Abstract | In recent years, there is a growing interest in equity-linked investment products. The return credited to such product depends on the return of some underlying reference index. A prominent example is the equity-indexed annuities (EIAs). A special feature of many of the equity-linked products is that the holders are entitled the right to surrender the product prior to maturity. In this paper, we will study the optimal surrender time for a equity-linked product in a discrete-time setting. We assume that the market environment will switch among different regimes in a Markovian way, and the return of the reference index will have different distributions in different regimes. Assuming a CRRA preference, we have obtained the optimal surrender policy. Properties of the optimal surrender behavior, in particular the effect of regime switching, are examined. © 2005 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172417 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cheung, KC | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:24Z | - |
dc.date.available | 2012-10-30T06:22:24Z | - |
dc.date.issued | 2005 | en_US |
dc.identifier.citation | Insurance: Mathematics and Economics, 2005, v. 37 n. 3, p. 599-614 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172417 | - |
dc.description.abstract | In recent years, there is a growing interest in equity-linked investment products. The return credited to such product depends on the return of some underlying reference index. A prominent example is the equity-indexed annuities (EIAs). A special feature of many of the equity-linked products is that the holders are entitled the right to surrender the product prior to maturity. In this paper, we will study the optimal surrender time for a equity-linked product in a discrete-time setting. We assume that the market environment will switch among different regimes in a Markovian way, and the return of the reference index will have different distributions in different regimes. Assuming a CRRA preference, we have obtained the optimal surrender policy. Properties of the optimal surrender behavior, in particular the effect of regime switching, are examined. © 2005 Elsevier B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Equity-Linked Products | en_US |
dc.subject | Markov Regime Switching Model | en_US |
dc.subject | Optimal Surrender Time | en_US |
dc.subject | Stochastic Orders | en_US |
dc.subject | Utility Function | en_US |
dc.title | Optimal stopping behavior of equity-linked investment products with regime switching | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Cheung, KC=rp00677 | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2005.06.005 | en_US |
dc.identifier.scopus | eid_2-s2.0-29144495786 | en_US |
dc.identifier.hkuros | 118251 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-29144495786&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 37 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 599 | en_US |
dc.identifier.epage | 614 | en_US |
dc.identifier.isi | WOS:000233950100011 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.issnl | 0167-6687 | - |