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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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  • Cheung, Ka Chun & Yang, Hailiang, 2005. "Optimal stopping behavior of equity-linked investment products with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 599-614, December.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:599-614
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    1. Norberg, Ragnar, 2003. "The Markov Chain Market," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 265-287, November.
    2. John Buffington & Robert J. Elliott, 2002. "American Options With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(05), pages 497-514.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Mary Hardy, 2001. "A Regime-Switching Model of Long-Term Stock Returns," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(2), pages 41-53.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    6. Kristen Moore & Virginia Young, 2005. "Optimal Design of a Perpetual Equity-Indexed Annuity," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(1), pages 57-72.
    7. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
    8. 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, vol. 3(3), pages 195-213, June.
    9. Serena Tiong, 2000. "Valuing Equity-Indexed Annuities," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 149-163.
    10. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    11. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    12. Hans Gerber & Elias Shiu, 2003. "Pricing Perpetual Fund Protection with Withdrawal Option," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(2), pages 60-77.
    13. Cheung, Ka Chun & Yang, Hailiang, 2004. "Asset Allocation with Regime-Switching: Discrete-Time Case," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 99-111, May.
    14. Ralf Korn, 1997. "Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3548, August.
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    Cited by:

    1. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
    2. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 14(4), pages 392-413, August.
    3. Moore, Kristen S., 2009. "Optimal surrender strategies for equity-indexed annuity investors," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 1-18, February.
    4. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
    5. Wei, Jiaqin & Wang, Rongming & Yang, Hailiang, 2012. "Optimal surrender strategies for equity-indexed annuity investors with partial information," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1251-1258.
    6. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
    7. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.

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