Оptimal control of continuous life insurance model
Вантажиться...
Дата
2017
Назва журналу
Номер ISSN
Назва тому
Видавець
Анотація
The problems of mixed life insurance and insurance in the case of death are considered in the article. The actuarial present value of life insurance is found by solving a system of differential equations. The cases of both constant effective interest rates and variables, depending on the time interval, are examined. The authors used the Pontryagin maximum principle method as the most efficient one, in order to solve the problem of optimal control of the mixed life insurance value. The variable effective interest rate is considered as the control parameter. Some numerical results were given.
Опис
Viktor Oliynyk, Fedir Zhuravka, Tetiana Bolgar and Olha Yevtushenko (2017). Optimal control of continuous life insurance model. Investment Management and Financial Innovations (open-access), 14(4), 21-29. doi:10.21511/imfi.14(4).2017.03
Ключові слова
actuarial value, contro, insurance, function, life insurance, model