Quadratic Optimization of Life and Pension Insurance Payments

DOI10.2143/AST.36.1.2014151MaRDI QIDQ3632870zbMATH OpenOpenAlexFDO

Authors Mogens Steffensen

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.36.1.2014151

Mathematics Subject Classification ID

Recommendations

• Utility maximization and risk minimization in life and pension insurance
• The policyholder's static and dynamic decision making of life insurance and pension payments
• On Merton’s Problem for Life Insurers
• scientific article; zbMATH DE number 4174200
• Stochastic optimal control of annuity contracts.

Cites work

• A theory of bonus life insurance
• Arbitrage Theory in Continuous Time
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

Cited in

(8)

• Utility maximization and risk minimization in life and pension insurance
• The policyholder's static and dynamic decision making of life insurance and pension payments
• Performance measurement of pension strategies: a case study of Danish life cycle products
• Performance measurement of pension strategies: a case study of Danish life-cycle products
• Investing for retirement through a with-profits pension scheme: a client's perspective
• Risk theory with affine dividend payment strategies
• Stable dividends under linear-quadratic optimisation
• Optimal reinsurance design under solvency constraints

This page was built for publication: Quadratic Optimization of Life and Pension Insurance Payments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632870)