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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، فروردین 2023، 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 ![]() | ||
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 تعداد دریافت فایل اصل مقاله: 43 |