Application of Game Theory to Pricing of Participating Deferred Annuity
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.
Volume (Year): 30 (2007)
Issue (Month): 2 ()
|Contact details of provider:|| |
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (James Barrese)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.