OPTIMAL CONTROL OF CONTINUOUS LIFE INSURANCE MODEL
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Дата
2017
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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