Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients

1997 ◽  
pp. 247-280 ◽  
Author(s):  
A. Cadenillas
Keyword(s):  
Investment Problem

The Investment Problem in Terrorism

Economica ◽  
2004 ◽  
Vol 71 (283) ◽  
pp. 449-459 ◽  
Author(s):  
Kai A. Konrad
Keyword(s):  
Investment Problem

scholarly journals Lobbies, delegation and the under-investment problem in regulation

2008 ◽  
Vol 26 (1) ◽  
pp. 17-40 ◽  
Author(s):  
Joanne Evans ◽  
Paul Levine ◽  
Francesc Trillas
Keyword(s):  
Investment Problem

THE MULTI-PERIOD CONSUMPTION INVESTMENT PROBLEM AND SINGLE PERIOD ANALYSIS

1974 ◽  
Vol 26 (2) ◽  
pp. 289-301 ◽  
Author(s):  
EDWIN J. ELTON ◽  
MARTIN J. GRUBER
Keyword(s):  
Period Analysis ◽  
Investment Problem ◽  
Single Period

Explicit Solution of a General Consumption/ Investment Problem

1997 ◽  
pp. 21-56 ◽  
Author(s):  
Ioannis Karatzas ◽  
John P. Lehoczky ◽  
Suresh P. Sethi ◽  
Steven E. Shreve
Keyword(s):  
Explicit Solution ◽  
Investment Problem

scholarly journals The Optimal Strategy of Reinsurance-Investment Problem for an Insurer with Dynamic Income Under Stochastic Interest Rate

2016 ◽  
Vol 4 (3) ◽  
pp. 244-257
Author(s):  
Delei Sheng
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Control Technique ◽  
Stochastic Interest Rate ◽  
Insurance Company ◽  
Power Utility ◽  
Investment Problem ◽  
Stochastic Interest ◽  
Hamilton Jacobi Bellman ◽  
Constant Interest Rate

AbstractThis paper considers the reinsurance-investment problem for an insurer with dynamic income to balance the profit of insurance company and policy-holders. The insurer’s dynamic income is given by a net premium minus a dynamic reward budget item and the net premium is obtained according to the expected premium principle. Applying the stochastic control technique, a Hamilton-Jacobi-Bellman equation is established under stochastic interest rate model and the explicit solution is obtained by maximizing the insurer’s power utility of terminal wealth. In addition, the comparison with corresponding results under constant interest rate helps us to understand the role and influence of stochastic interest rates more in-depth.

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