کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077449 1374131 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal investment and life insurance strategies under minimum and maximum constraints
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal investment and life insurance strategies under minimum and maximum constraints
چکیده انگلیسی
We derive optimal strategies for an individual life insurance policyholder who can control the asset allocation as well as the sum insured (the amount to be paid out upon death) throughout the policy term. We first consider the problem in a pure form without constraints (except nonnegativity on the sum insured) and then in a more general form with minimum and/or maximum constraints on the sum insured. In both cases we also provide the optimal life insurance strategies in the case where risky-asset investments are not allowed (or not taken into consideration), as in basic life insurance mathematics. The optimal constrained strategies are somewhat more complex than the unconstrained ones, but the latter can serve to ease the understanding and implementation of the former.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 1, August 2008, Pages 15-28
نویسندگان
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