### Abstract

Language | English |
---|---|

Pages | 1251-1258 |

Number of pages | 8 |

Journal | Statistics and Probability Letters |

Volume | 82 |

Issue number | 7 |

DOIs | |

Publication status | Published - 2012 |

Externally published | Yes |

### Fingerprint

### Keywords

- Equity-indexed annuity
- Regime switching
- Optimal stopping
- Partial information
- Logarithmic utility

### Cite this

*Statistics and Probability Letters*,

*82*(7), 1251-1258. https://doi.org/10.1016/j.spl.2012.03.021

}

*Statistics and Probability Letters*, vol. 82, no. 7, pp. 1251-1258. https://doi.org/10.1016/j.spl.2012.03.021

**Optimal surrender strategies for equity-indexed annuity investors with partial information.** / Wei, Jiaqin; Wang, Rongming; Yang, Hailiang.

Research output: Contribution to journal › Article › Research › peer-review

TY - JOUR

T1 - Optimal surrender strategies for equity-indexed annuity investors with partial information

AU - Wei, Jiaqin

AU - Wang, Rongming

AU - Yang, Hailiang

PY - 2012

Y1 - 2012

N2 - In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To be more realistic, we consider a finite time horizon and assume that the Markov chain is unobservable. This leads to the optimal stopping problem with partial information. We give a representation of the value function and an integral equation satisfied by the boundary. In the Bayesian case which is a special case of our model, we obtain analytical results for the value function and the boundary.

AB - In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To be more realistic, we consider a finite time horizon and assume that the Markov chain is unobservable. This leads to the optimal stopping problem with partial information. We give a representation of the value function and an integral equation satisfied by the boundary. In the Bayesian case which is a special case of our model, we obtain analytical results for the value function and the boundary.

KW - Equity-indexed annuity

KW - Regime switching

KW - Optimal stopping

KW - Partial information

KW - Logarithmic utility

U2 - 10.1016/j.spl.2012.03.021

DO - 10.1016/j.spl.2012.03.021

M3 - Article

VL - 82

SP - 1251

EP - 1258

JO - Statistics and Probability Letters

T2 - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

IS - 7

ER -