Indifference pricing of pure endowments via BSDEs under partial information
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DOI: 10.1080/03461238.2020.1790030
Abstract: In this paper, we investigate the pricing problem of a pure endowment contract when the insurance company has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies… read more here.
Keywords: information; pure; partial information; pricing ... See more keywords