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Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control | ||
Journal of Mathematics and Modeling in Finance | ||
دوره 2، شماره 2، اسفند 2022، صفحه 37-52 اصل مقاله (252.63 K) | ||
نوع مقاله: Research Article | ||
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15185 | ||
نویسندگان | ||
Saman Vahabi1؛ Amir Teimour Payandeh Najafabadi* 2 | ||
1Shahid Beheshti University (SBU) | ||
2Department of Actuarial Science, Shahid Beheshti University, Tehran, Iran | ||
چکیده | ||
In this paper, we design a pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In this contract, premiums are received from the policyholder at certain times. The insurer undertakes to pay the premiums by a certain guarantee rate, in addition, by investing in a portfolio of risky and risk free assets share invest pro ts. We used Variance Gamma process as a representative of in nite activity jump models and sensitivity of jump parameters in an uncertainty nancial market has been studied. Also we compared results using by two forces of mortality. | ||
کلیدواژهها | ||
Optimal Strategy؛ Force of Mortality؛ Pure-Endowment؛ Infinite Activity L' {e}vy Model | ||
مراجع | ||
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