Mousa Abdelrahim, University Birzeit
"Investment portfolio and life-insurance management"
We consider the problem faced by an insurance company when
trying to find optimal strategies for the joint management of:
We employ some abstract
techniques from optimal control problems with random horizons to
restate the stochastic optimal control problem under consideration
as one with a fixed planning horizon, providing also the
corresponding sequence of dynamic programming principles and
We provide some qualitative properties for the value function
with the insurance company optimization problem.
Moreover, in the special case of constant relative risk aversion
we perform a static analysis based on numerical solutions
for the Hamilton-Jacobi-Bellman equation.
- a finite number of homogeneous life-insurance policies; and
- an investment portfolio in a financial market composed by one
risk-free security and one risky asset.