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Application of Game Theory to Pricing of Participating Deferred Annuity

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  • Hong Mao
  • Krzysztof M. Ostaszewski
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    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.

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    File URL: http://www.insuranceissues.org/PDFs/302MO.pdf
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    Bibliographic Info

    Article provided by Western Risk and Insurance Association in its journal Journal of Insurance Issues.

    Volume (Year): 30 (2007)
    Issue (Month): 2 ()
    Pages: 102-121

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    Handle: RePEc:wri:journl:v:30:y:2007:i:2:p:102-121

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