Optimal Investment Consumption And Life Insurance In A Levy Market PDF Download
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| Author | : Calisto Justino Guambe |
| Publisher | : |
| Total Pages | : 172 |
| Release | : 2015 |
| Genre | : Finance |
| ISBN | : |
Download Optimal Investment, Consumption and Life Insurance in a Lévy Market Book in PDF, ePub and Kindle
The purpose of this dissertation is to solve an optimal investment, consumption and life insurance problem described by jump-diffusion processes in two settings. First, we consider a problem with random parameters of a wage earner who wants to save to his beneficiary for his death. Using one risk-free asset and one risky asset price given by a geometric jump-diffusion process, we obtain the optimal strategy via the dynamic programming approach, combining the Hamilton-Jacobi-Bellman equation with a backward stochastic differential equation with jumps. Secondly, we discuss the optimal investment, consumption and life insurance problem with capital constraints. The problem consists of one risk-free asset and two risky asset prices defined in an independent Brownian motion and Poisson process. We derive the optimal strategy of the unconstrained problem via martingale approach, from which, the problem with capital constraint is solved applying the option based portfolio insurance method.
| Author | : Calisto Guambe |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Stochastic Optimal Portfolios and Life Insurance Problems in a Le̹vy Market Book in PDF, ePub and Kindle
This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. Secondly, we prove the sufficient and necessary maximum principle for the similar problem proposed in the first part. Then we apply the results to solve an investment, consumption, and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of M > 0 life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor's terminal wealth. The third part discusses an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. The explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case are derived.
| Author | : Minsuk Kwak |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Optimal Portfolio Selection with Life Insurance Under Inflation Risk Book in PDF, ePub and Kindle
This paper investigates a continuous-time optimal consumption, investment, and life insurance decision problem of a family under inflation risk. In the financial market, there is a liquid inflation-linked index bond market which can be utilized to hedge the inflation risk. The explicit solutions for the optimal strategies including consumption rate, investment for each financial asset, and life insurance premium are derived for constant relative risk aversion (CRRA) utility case using martingale approach. The roles of an index bond are investigated and it is verified that they depend on market parameters. We analyze the effects of market parameters on the optimal strategies with focus on the demand for index bond and optimal life insurance premium. Especially, the change of inflation rate has considerable impact on optimal life insurance premium.
| Author | : Morten Tolver Kronborg |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Optimal Consumption, Investment and Life Insurance With Surrender Option Guarantee Book in PDF, ePub and Kindle
We consider an investor, with an uncertain life time, endowed with deterministic labor income, who has the possibility to continuously invest in a Black-Scholes market and to buy life insurance or annuities. We solve the optimal consumption, investment and life insurance problem when the investor is restricted to fulfill an American capital guarantee. By allowing the guarantee to depend, in a very general way, on the past we include, among other possibilities, the interesting case of a minimum rate of return guarantee, commonly offered by pension companies. The optimal strategies turn out to be on option based portfolio insurance form, but since the capital guarantee is valid at every intermediate point in time, re-calibration is needed whenever the constraint is active.
| Author | : Leonard C. MacLean |
| Publisher | : World Scientific |
| Total Pages | : 941 |
| Release | : 2013 |
| Genre | : Business & Economics |
| ISBN | : 9814417351 |
Download Handbook of the Fundamentals of Financial Decision Making Book in PDF, ePub and Kindle
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
| Author | : Bernt Øksendal |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 263 |
| Release | : 2007-04-26 |
| Genre | : Mathematics |
| ISBN | : 3540698264 |
Download Applied Stochastic Control of Jump Diffusions Book in PDF, ePub and Kindle
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
| Author | : |
| Publisher | : |
| Total Pages | : 316 |
| Release | : 1979 |
| Genre | : Finance |
| ISBN | : |
Download Capital Markets and Finance Bibliography Book in PDF, ePub and Kindle
| Author | : Muneta Yokomatsu |
| Publisher | : Springer Nature |
| Total Pages | : 239 |
| Release | : 2020-07-01 |
| Genre | : Political Science |
| ISBN | : 9811543208 |
Download Disaster Risk Reduction and Resilience Book in PDF, ePub and Kindle
This book provides insight on how disaster risk management can increase the resilience of society to various natural hazards. The multi-dimensionality of resilience and the various different perspectives in regards to disaster risk reduction are taken explicitly into account by providing studies and approaches on different scales and ranging from natural science based methods to social science frameworks. For all chapters, special emphasis is placed on implementation aspects and specifically in regards to the targets and priorities for action laid out in the Sendai Framework for Disaster Risk Reduction. The chapters provide also a starting point for interested readers on specific issues of resilience and therefore include extensive reference material and important future directions for research.
| Author | : Felix Hufeld |
| Publisher | : Oxford University Press |
| Total Pages | : 318 |
| Release | : 2016-10-27 |
| Genre | : Business & Economics |
| ISBN | : 0191093181 |
Download The Economics, Regulation, and Systemic Risk of Insurance Markets Book in PDF, ePub and Kindle
Despite the importance of insurance in enabling individual and collective social, economic, and financial activities, discussions about the macroeconomic role and risks of insurance markets are surprisingly limited. This book brings together academics, regulators, and industry experts to provide a multifaceted array of research and perspectives on insurance, its role and functioning, and the potential systemic risk it could create. The first part discusses the macroeconomic role of insurance and how insurance is different from banking and general finance. Understanding the differences between the balance sheets of insurers and other financial intermediaries is essential for understanding the potential differences in risk nature and optimal regulation. The second part of the book focuses on the risks managed by the insurance sector and the potential for systemic risk. The chapters discuss the risks both on the asset and liability sides of insurers' balance sheets. The third part of the book covers the impact of regulation on insurance companies. Existing regulation is often complex and has a large impact on insurance companies' decision-making and functioning. The chapters also illustrate the unintended consequences of various forms of regulation. The book concludes with a summary of a survey that has been conducted in collaboration with McKinsey, where insurance executives have been asked about the risks and regulation in the insurance sector. The survey provides guidance for future research on insurance markets.
| Author | : Andrew Ang |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 717 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 0199959323 |
Download Asset Management Book in PDF, ePub and Kindle
Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.
