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Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
stochastic optimal control consumption-investment problems life-insurance
2011/3/23
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random ...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Optimal dividend policy of a large insurance company with positive transaction cost under higher solvency and security
Regular-singular stochastic optimal control Solvency Stochastic
2010/10/20
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost a...