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

Explicit Solution of a General Consumption/Investment Problem

1986 ◽  
Vol 11 (2) ◽  
pp. 261-294 ◽  
Author(s):  
Ioannis Karatzas ◽  
John P. Lehoczky ◽  
Suresh P. Sethi ◽  
Steven E. Shreve
Keyword(s):  
Explicit Solution ◽  
Investment Problem

scholarly journals Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model

2016 ◽  
Vol 2016 ◽  
pp. 1-13 ◽  
Author(s):  
De-Lei Sheng
Keyword(s):  
Explicit Solution ◽  
Bellman Equation ◽  
Control Technique ◽  
Power Utility ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Stochastic Interest ◽  
Hamilton Jacobi Bellman Equation ◽  
Interest Rate Model ◽  
Hamilton Jacobi Bellman

Unlike traditionally used reserves models, this paper focuses on a reserve process with dynamic income to study the reinsurance-investment problem for an insurer under Vasicek stochastic interest rate model. The insurer’s dynamic income is given by the remainder after a dynamic reward budget being subtracted from the insurer’s net premium which is calculated according to expected premium principle. Applying stochastic control technique, a Hamilton-Jacobi-Bellman equation is established and the explicit solution is obtained under the objective of maximizing the insurer’s power utility of terminal wealth. Some economic interpretations of the obtained results are explained in detail. In addition, numerical analysis and several graphics are given to illustrate our results more meticulous.

Explicit solution of a consumption/investment problem

2005 ◽  
pp. 59-69 ◽  
Author(s):  
I. Karatzas ◽  
J. Lehoczky ◽  
S. Sethi ◽  
S. Shreve
Keyword(s):  
Explicit Solution ◽  
Investment Problem

Explicit solution of a general consumption/investment problem

2006 ◽  
pp. 209-216
Author(s):  
Ioannis Karatzas ◽  
John P. Lehoczky ◽  
Suresh P. Sethi ◽  
Steven E. Shreve
Keyword(s):  
Explicit Solution ◽  
Investment Problem
Sign in / Sign up

Export Citation Format

Share Document