کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077685 1374145 2006 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal insurance in a continuous-time model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal insurance in a continuous-time model
چکیده انگلیسی
We seek the optimal dynamic consumption, investment, and insurance strategies for an individual who seeks to maximize her expected discounted utility of consumption and bequest over a fixed or random horizon, such as her random future lifetime. Thus, we incorporate an insurable loss and random horizon into the classical consumption and investment framework of Merton. We determine that if the premium is proportional to the expected payout, then the optimal per-claim insurance is deductible insurance; thus, we extend this result for static models to our dynamic setting. We compute the value function and optimal controls for many examples and contrast their qualitative properties, including the impact of the investor's horizon (or mortality) on the optimal controls and the interaction between the demand for insurance and the risky asset. We employ the Markov Chain approximation method of Kushner for those examples for which closed form solutions are not available.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 39, Issue 1, 1 August 2006, Pages 47-68
نویسندگان
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