Search Results - subject:"Stochastic Optimal Control"

Optimal management and inflation protection for defined contribution pension plans

Zhang, Aihua; Korn, Ralf; Ewald, Christian-Oliver - Volkswirtschaftliche Fakultät, … - 2007

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling in°ation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives...

Persistent link: https://www.econbiz.de/10005260298

Human capital as a risky asset and the effect of uncertainty on the decision to invest

Hanchane, Saïd; Lioui, A.; Touahri, David - HAL - 2006

In this paper, we analyse the human capital accumulation process over the life cycle of individuals under uncertainty. To do so, we develop a continuous time dynamic programming model which takes into account several sources of uncertainty, concerning the human capital accumulation process and...

Persistent link: https://www.econbiz.de/10010899522

SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem

Azzato, Jeffrey; Krawczyk, Jacek - Volkswirtschaftliche Fakultät, … - 2006

Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a … given stochastic optimal control problem using Markov chains was developed in [1]. This paper describes a suite of MATLAB … functions implementing this method of approximating a solution to a given continuous stochastic optimal control problem. …

Persistent link: https://www.econbiz.de/10005619693

United States Current Account Deficits: A Stochastic Optimal Control Analysis

Stein, Jerome L. - CESifo - 2006

The "Pessimists" and the "Optimists" disagree whether the US external deficits and the associated buildup of US net foreign liabilities are problems that require urgent attention. A warning signal should be that the debt ratio deviates significantly from the optimal ratio. The optimal debt ratio...

Persistent link: https://www.econbiz.de/10005181519

The maximum principle for the nonlinear stochastic optimal control problem of switching systems

Aghayeva, Charkaz; Abushov, Qurban - In: Journal of Global Optimization 56 (2013) 2, pp. 341-352

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the...

Persistent link: https://www.econbiz.de/10010845860

Optimal decision on dynamic insurance price and investment portfolio of an insurer

Mao, Hong; Carson, James M.; Ostaszewski, Krzysztof M.; … - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 359-369

We establish a model of insurance pricing with the assumption that the insurance price, insurer investment returns, and insured losses are correlated stochastic processes. We consider the effect of demand on price where the objective of the pricing model is to maximize the expected utility of...

Persistent link: https://www.econbiz.de/10010662452

Stochastic Pareto-optimal reinsurance policies

Zeng, Xudong; Luo, Shangzhen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 671-677

We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. After analyzing the...

Persistent link: https://www.econbiz.de/10010719090

A liability tracking approach to long term management of pension funds

Ieda, Masashi; Yamashita, Takashi; Nakano, Yumiharu - In: Journal of mathematical finance 3 (2013) 3, pp. 392-400

Persistent link: https://www.econbiz.de/10010239531

Stochastic Pareto-optimal reinsurance policies

Zeng, Xudong; Luo, Shangzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 671-677

Persistent link: https://www.econbiz.de/10010227906

Optimal portfolio selection in nonlinear arbitrage spreads

Alsayed, Hamad; McGroarty, Frank - In: The European journal of finance 19 (2013) 3/4, pp. 206-227

Persistent link: https://www.econbiz.de/10010243657