TITLE
"Application of Game Theory to Pricing of Participating Deferred Annuity," Hong Mao and Krzysztof M. Ostaszewski, Fall 2007, Volume 30, No. 2, pp 102-121. Full-text articles soon will be available through ABI/INFORM and EBSCO; click here for article PDF

ABSTRACT
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. [Key words: participating annuity,
game theory, stochastic process]