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Optimal stopping behavior of equity-linked investment products with regime switching

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  • Cheung, Ka Chun
  • Yang, Hailiang
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4GTVYD5-1/2/af09088c3ac103c8d64670c0cb8d9ae6
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 37 (2005)
    Issue (Month): 3 (December)
    Pages: 599-614

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    Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:599-614

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 195-213, June.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    3. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 51(3), pages 239-46, August.
    4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
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    Cited by:
    1. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 795-801.
    2. Eling, Martin & Kochanski, Michael, 2012. "Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?," Working Papers on Finance, University of St. Gallen, School of Finance 1224, University of St. Gallen, School of Finance.
    3. Moore, Kristen S., 2009. "Optimal surrender strategies for equity-indexed annuity investors," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 1-18, February.
    4. Wei, Jiaqin & Wang, Rongming & Yang, Hailiang, 2012. "Optimal surrender strategies for equity-indexed annuity investors with partial information," Statistics & Probability Letters, Elsevier, Elsevier, vol. 82(7), pages 1251-1258.
    5. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 840-850.

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