Stochastic Control System for Mortality Benefits

DOI10.1080/07362990802564970MaRDI QIDQ3611812zbMATH OpenOpenAlexFDO

Authors Athanasios A. Pantelous, Alexandros A. Zimbidis

Publication date 3 March 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990802564970

zbMATH Keywords

pension fundstochastic linear quadratic optimal controlfractional Brownian motion (fBm)Carleman-type integral equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic models in economics (91B70) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Recommendations

• Dynamic hedging of the mortality risk via a continuous control strategy of the portfolio of investments of a pension fund
• Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Stochastic optimal control of annuity contracts.
• Stochastic control of funding systems.

Cites work

• A General Fractional White Noise Theory And Applications To Finance
• A class of micropulses and antipersistent fractional Brownian motion
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises

Cited in

(2)

• Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
• Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences

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