IDEAS home Printed from https://ideas.repec.org/a/wri/journl/v30y2007i2p102-121.html
   My bibliography  Save this article

Application of Game Theory to Pricing of Participating Deferred Annuity

Author

Listed:
  • Hong Mao
  • Krzysztof M. Ostaszewski

Abstract

We study pricing models for a participating deferred annuity. Game theory is used to formulate different pricing models based on customers’ preference concerning benefits and risks. The objective is to maximize social welfare. Value at Risk (VaR) under multi-stage stochastic processes is applied to measure credit risk and its calculation is discussed. Monte Carlo simulation and stochastic optimization are used to find optimal solutions for price and dividend rate.

Suggested Citation

  • Hong Mao & Krzysztof M. Ostaszewski, 2007. "Application of Game Theory to Pricing of Participating Deferred Annuity," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 30(2), pages 102-121.
    • Handle: RePEc:wri:journl:v:30:y:2007:i:2:p:102-121
    as

    Download full text from publisher

    File URL: http://www.insuranceissues.org/PDFs/302MO.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
    2. Mao Hong & Wen Zhongkai, 2018. "Optimization of Price, Default Ratio and Capital under Regulatory Criterion of Maximizing Social Benefit," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 12(2), pages 1-15, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wri:journl:v:30:y:2007:i:2:p:102-121. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: James Barrese (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.