Hello,
a new member submitted a talk for the event BIRZEIT18RAND:

• Name : Mousa
• First name : Abdelrahim
• University : Birzeit
• Email : asaid@birzeit.edu
• Position : Professor-Assistant
• Title of the talk : Investment portfolio and life-insurance management
• 'Long<->Short' talk : short
• Summary : We consider the problem faced by an insurance company when trying to find optimal strategies for the joint management of: (i) a finite number of homogeneous life-insurance policies; and (ii) an investment portfolio in a financial market composed by one risk-free security and one risky asset. 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 Hamilton-Jacobi-Bellman equations. We provide some qualitative properties for the value function associated with the insurance company optimization problem. Moreover, in the special case of constant relative risk aversion utilities, we perform a static analysis based on numerical solutions for the Hamilton-Jacobi-Bellman equation.
• Request for accommodation financial support in Ramallah : No