Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077539 | Insurance: Mathematics and Economics | 2007 | 20 Pages |
Abstract
Two-way branching models are used for the stochastic health events and asset returns. The problem, formulated as a nonlinearly constrained mixed-integer optimization problem, is solved using a heuristic. Sensitivity analyses are performed for initial health and wealth status. Some important aspects of an individual's behavioral preferences are also addressed in this framework to provide more robust decision support.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Aparna Gupta, Lepeng Li,