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The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

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  • Xiao, Jianwu
  • Hong, Zhai
  • Qin, Chenglin
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4K717N5-1/2/cbec627ecaf9277c1f1c4182f7cd4967
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    Bibliographic Info

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

    Volume (Year): 40 (2007)
    Issue (Month): 2 (March)
    Pages: 302-310

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    Handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:302-310

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

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    References

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    1. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 28(2), pages 173-189, April.
    2. Beckers, Stan, 1980. " The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, American Finance Association, vol. 35(3), pages 661-73, June.
    3. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(2), pages 227-238, October.
    4. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 17(04), pages 533-554, November.
    5. Cox, John C. & Huang, Chi-fu, 1991. "A variational problem arising in financial economics," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(5), pages 465-487.
    6. Basu, Parantap & Samanta, Prodyot, 2001. "Volatility and stock prices: implications from a production model of asset pricing," Economics Letters, Elsevier, Elsevier, vol. 70(2), pages 229-235, February.
    7. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 145-166.
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    Cited by:
    1. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks, Collegio Carlo Alberto 108, Collegio Carlo Alberto, revised 2009.
    2. Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan, 2012. "Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(3), pages 674-684.
    3. Gao, Jianwei, 2009. "Optimal portfolios for DC pension plans under a CEV model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(3), pages 479-490, June.
    4. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks, Collegio Carlo Alberto 272, Collegio Carlo Alberto.
    5. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(2), pages 317-327, April.
    6. Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi, 2010. "Constant elasticity of variance model for proportional reinsurance and investment strategies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 580-587, June.
    7. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(1), pages 9-18, August.
    8. Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 511-530, June.
    9. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    10. Jung, Eun Ju & Kim, Jai Heui, 2012. "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(3), pages 667-673.
    11. Gao, Jianwei, 2008. "Stochastic optimal control of DC pension funds," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 1159-1164, June.
    12. Zhao, Hui & Rong, Ximin, 2012. "Portfolio selection problem with multiple risky assets under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 50(1), pages 179-190.
    13. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 851-863.

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