Optimal fee structure of variable annuities

被引：7
|
作者：
Wang, Gu [1 ]
Zou, Bin [2 ]
机构：
[1] Worcester Polytech Inst, Dept Math Sci, Worcester, MA 01609 USA
[2] Univ Connecticut, Dept Math, 341 Mansfield Rd U1009, Storrs, CT 06269 USA
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2021年 / 101卷
关键词：
Barrier strategy; Free boundary; Hamilton-Jacobi-Bellman equation; Quasi-variational inequalities; Reflected stochastic differential equations; RISK-NEUTRAL VALUATION; LIFE-INSURANCE; STATE; POLICYHOLDER; DIVIDEND; OPTIMIZATION; BEHAVIOR; BENEFIT;
D O I：
10.1016/j.insmatheco.2021.10.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the design of fee structures of variable annuities as a stochastic control problem, in which an insurer is allowed to choose the fee structure in any form that satisfies the budget constraint, and seeks an optimal one to maximize its business objective. Under the no surrender assumption, we show that the optimal fee structure is of barrier type with a time-dependent free boundary. The insurer's optimal strategy is to charge fees if and only if the account value of variable annuities hits the free boundary from below. (C) 2021 Elsevier B.V. All rights reserved.
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页码：587 / 601
页数：15
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