Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees

We study a portfolio optimization problem involving the loss averse policyholder of a variable annuity with a guaranteed minimum maturity benefit. This financial guarantee is financed via a fee withdrawn directly from the investment account, which impacts the net investment return. A fair pricing co...

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Veröffentlicht in:	Methodology and computing in applied probability 2022-06, Vol.24 (2), p.1021-1049
Hauptverfasser:	MacKay, Anne, Ocejo, Adriana
Format:	Artikel
Sprache:	eng
Schlagworte:	Business and Management Constraints Economics Electrical Engineering Expected utility Fees & charges Impact analysis Investment policy Investment strategy Life Sciences Martingales Mathematics and Statistics Optimal control Optimization Policyholders Pricing Statistics Stochastic processes
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