Quadratic Optimization of Life and Pension Insurance Payments
نویسندگان
چکیده
منابع مشابه
Financial Optimization Problems in Life and Pension Insurance
Acknowledgements I would like to thank Hanspeter Schmidli for encouragement and support, and for comments on early versions of the published papers. I am deeply indebted to Mogens Steffensen for his encouragement, support, and general guidance, and for many valuable discussions in relation to my work as well as to other matters. He has played a role of great significance as a supervisor, collea...
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چکیده ندارد.
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My interest in the topics dealt with in this thesis was aroused during my graduate studies and the preparation of my master's thesis. I realized a number of open questions and wanted to search for some of the answers. This search started with my master's thesis and continues with the present thesis. Chapter 2 is closely related to parts of my master's thesis. However, the framework and the resu...
متن کاملUtility maximization and risk minimization in life and pension insurance
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a general form) of the pension benefits through dividend allocation and investment in a financial market. We take the uncertain course of life of the insured into account and provide the full picture of the policy’s financia...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2006
ISSN: 0515-0361,1783-1350
DOI: 10.1017/s0515036100014471