Article: Optimal surrender strategies for equity-indexed annuity investors with partial information

File Download Links for fulltext
(May Require Subscription)
Supplementary
  • Basic View
  • Metadata View
  • XML View
TitleOptimal surrender strategies for equity-indexed annuity investors with partial information
AuthorsWei, J3
Wang, R1 3
Yang, H2
KeywordsEquity-Indexed Annuity
Logarithmic Utility
Optimal Stopping
Partial Information
Regime Switching
Issue Date2012
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro
CitationStatistics And Probability Letters, 2012, v. 82 n. 7, p. 1251-1258 [How to Cite?]
DOI: http://dx.doi.org/10.1016/j.spl.2012.03.021
AbstractIn 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.
ISSN0167-7152
2011 Impact Factor: 0.498
2011 SCImago Journal Rankings: 0.044
DOIhttp://dx.doi.org/10.1016/j.spl.2012.03.021
ReferencesReferences in Scopus
DC Field
Value
dc.contributor.authorWei, J
dc.contributor.authorWang, R
dc.contributor.authorYang, H
dc.date.accessioned2012-10-30T06:22:48Z
dc.date.available2012-10-30T06:22:48Z
dc.date.issued2012
dc.description.abstractIn 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.
dc.description.natureLink_to_subscribed_fulltext
dc.identifier.citationStatistics And Probability Letters, 2012, v. 82 n. 7, p. 1251-1258 [How to Cite?]
DOI: http://dx.doi.org/10.1016/j.spl.2012.03.021
dc.identifier.citeulike10492028
dc.identifier.doihttp://dx.doi.org/10.1016/j.spl.2012.03.021
dc.identifier.epage1258
dc.identifier.issn0167-7152
2011 Impact Factor: 0.498
2011 SCImago Journal Rankings: 0.044
dc.identifier.issue7
dc.identifier.scopuseid_2-s2.0-84860120722
dc.identifier.spage1251
dc.identifier.urihttp://hdl.handle.net/10722/172496
dc.identifier.volume82
dc.languageeng
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro
dc.publisher.placeNetherlands
dc.relation.ispartofStatistics and Probability Letters
dc.relation.referencesReferences in Scopus
dc.subjectEquity-Indexed Annuity
dc.subjectLogarithmic Utility
dc.subjectOptimal Stopping
dc.subjectPartial Information
dc.subjectRegime Switching
dc.titleOptimal surrender strategies for equity-indexed annuity investors with partial information
dc.typeArticle
Author Affiliations
  1. Shandong University
  2. The University of Hong Kong
  3. East China Normal University