Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control

Publish Year: 1402
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:

JR_JMMF-2-2_003

تاریخ نمایه سازی: 19 بهمن 1401

Abstract:

There are a variety of products in the life insurance literature. These products differ in how the benefits are paid and the execution time. In this paper, we designed pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In our designed contract, premiums are received from the policyholder at certain times. The insurer undertakes to pay the premiums by a certain guarantee rate, in addition, by investing in a portfolio of risky and risk free assets and share invest profits. The optimal stochastic control method can be used in a financial market with a risk free asset and a risky stock asset with jump by infinite activity L\'{e}vy model. We employed Variance Gamma process as a representative of infinite activity jump models and sensitivity of jump parameters in an uncertainty financialmarket has been studied. Also we compared results using by two forces of mortality.

Keywords:

Optimal Strategy , Force of Mortality , Pure-Endowment , Infinite Activity L' {e}vy Model

Authors

Saman Vahabi

Shahid Beheshti University (SBU)

Amir Payandeh Najafabadi

Department of Actuarial Science, Shahid Beheshti University, Tehran, Iran