Dipartimento di Scienze Statistiche

    Prof. Mogens Steffensen (University of Copenhagen)   Abstract: We browse through the history of market-consistent valuation in pensions. Policy holder behavior has attracted an increasing attention through that history. We consider the different approaches to valuation of policy holder options like surrender and free policy options.  Keywords: Incidental behavior, optimal behavior, variational inequalities, American options, time value of options and guarantees, forward transition rates. No prerequisites in optimal stopping theory are needed.