Stochastic control methods in asset pricing.

MaRDI QIDQ2785000zbMATH OpenFDO

Authors Thaleia Zariphopoulou

Publication date 17 October 2002

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited in

(8)

• Minimizing the lifetime shortfall or shortfall at death
• Annuitization and asset allocation
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• Optimal investment strategies with a reallocation constraint
• Minimizing the probability of lifetime ruin under borrowing constraints
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

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