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Vahabi, Saman, Payandeh Najafabadi, Amir. (1401). Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control. سامانه مدیریت نشریات علمی, 2(2), 37-52. doi: 10.22054/jmmf.2023.15185
Saman Vahabi; Amir Teimour Payandeh Najafabadi. "Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control". سامانه مدیریت نشریات علمی, 2, 2, 1401, 37-52. doi: 10.22054/jmmf.2023.15185
Vahabi, Saman, Payandeh Najafabadi, Amir. (1401). 'Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control', سامانه مدیریت نشریات علمی, 2(2), pp. 37-52. doi: 10.22054/jmmf.2023.15185
Vahabi, Saman, Payandeh Najafabadi, Amir. Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control. سامانه مدیریت نشریات علمی, 1401; 2(2): 37-52. doi: 10.22054/jmmf.2023.15185

Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control

Journal of Mathematics and Modeling in Finance
دوره 2، شماره 2، فروردین 2023، صفحه 37-52  XML اصل مقاله (252.63 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15185
نویسندگان
Saman Vahabi1؛ Amir Teimour Payandeh Najafabadi email 2
1Shahid Beheshti University (SBU)
2Department of Actuarial Science, Shahid Beheshti University, Tehran, Iran
چکیده
There are a variety of products in the life insurance literature. These products differ in how the benefits are paid and the execution time. In this paper, we designed pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with

CRRA utility function. In our designed 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 and share invest profits. The optimal stochastic control method can be used in a financial market with a risk free asset and a risky stock asset with jump by infinite activity L'{e}vy model. We employed Variance Gamma process as a representative of infinite activity jump models and sensitivity of jump parameters in an uncertainty financial

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
آمار
تعداد مشاهده مقاله: 32
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