Optimal control of continuous life insurance model

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 interv...

Full description

Saved in:
Bibliographic Details
Published in:Investment management & financial innovations 2017, Vol.14 (4), p.21-29
Main Authors: Oliynyk, Viktor, Zhuravka, Fedir, Bolgar, Tetiana, Yevtushenko, Olha
Format: Article
Language:English
Subjects:
actuarial value
Business Economy / Management
control
Financial Markets
function
insurance
Life insurance
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1810-4967
1812-9358
DOI:10.21511/imfi.14(4).2017.03