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	The time of deducting fees for variable annuities under the state-dependent fee structure
	Zhou, Jiang ; Wu, Lan
	2015
关键词	Variable annuities State-dependent fee Hyper-exponential jump diffusion process Laplace transform Refracted Levy process REFRACTED LEVY PROCESSES LINKED DEATH BENEFITS OCCUPATION TIMES OPTIONS MODELS
英文摘要	We investigate the total time of deducting fees for variable annuities with state-dependent fee. This fee charging method is studied recently by Bernard et al. (2014) and Delong (2014) in which the fees deducted from the policyholder's account depend on the account value. However, both of them have not considered the problem of analyzing probabilistic properties of the total time of deducting fees. We approximate the maturity of a general variable annuity contract by combinations of exponential distributions which are (weakly) dense in the space that is composed of all probability distributions on the positive axis. Working under general jump diffusion process, we derive analytic formulas for the expectation of the time of deducting fees as well as its Laplace transform. (C) 2015 Elsevier B.V. All rights reserved.; SCI(E); SSCI; ARTICLE; 1101110056@pku.edu.cn; lwu@pku.edu.cn; 125-134; 61
语种	英语
出处	SCI
出版者	INSURANCE MATHEMATICS & ECONOMICS
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/420733]
专题	数学科学学院
推荐引用方式 GB/T 7714	Zhou, Jiang,Wu, Lan. The time of deducting fees for variable annuities under the state-dependent fee structure. 2015-01-01.

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