Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Pricing variable annuities with multi-layer expense strategy   We study the problem of pricing variable annuities with a multi-layer expense
strategy, under which the insurer charges fees from the policyholder's account
only when the account value lies in some pre-specified disjoint intervals,
where on each pre-specified interval, the fee rate is fixed and can be
different from that on other interval. We model the asset that is the
underlying fund of the variable annuity by a hyper-exponential jump diffusion
process. Theoretically, for a jump diffusion process with hyper-exponential
jumps and three-valued drift, we obtain expressions for the Laplace transforms
of its distribution and its occupation times, i.e., the time that it spends
below or above a pre-specified level. With these results, we derive closed-form
formulas to determine the fair fee rate. Moreover, the total fees that will be
collected by the insurer and the total time of deducting fees are also
computed. In addition, some numerical examples are presented to illustrate our
results.

27
The categories of this paper are: comp-gas
9
The categories of this paper are: nlin
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
17
The categories of this paper are: q-fin
20
The categories of this paper are: acc-phys
26
The categories of this paper are: bayes-an
0
The categories of this paper are: hep-ph
1
The categories of this paper are: cs
32
The categories of this paper are: atom-ph
7
The categories of this paper are: hep-th
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg
24
The categories of this paper are: dg-ga
18
The categories of this paper are: econ
11
The categories of this paper are: hep-lat