OPTIMAL CONTROL OF CONTINUOUS LIFE INSURANCE MODEL

The problems of mixed life insurance and insurance in the case of death are considered in the article. The actuarial present value of life insurance is found by solving a system of differential equations. The cases of both constant effective interest rates and variables, depending on the time interv...

Full description

Saved in:
Bibliographic Details
Published inInvestment Management and Financial Innovations Vol. 14; no. 4; pp. ap3+21 - 29
Main Authors Oliynyk, Viktor, Zhuravka, Fedir, Bolgar, Tetiana, Yevtushenko, Olha
Format Journal Article
LanguageEnglish
Published Sumy LLC CPC Business Perspectives 2017
ТОВ “Консалтингово-видавнича компанія “Ділові перспективи”
LLC “Consulting Publishing Company “Business Perspectives”
Business Perspectives Ltd
LLC "CPC "Business Perspectives
Subjects
actuarial value
Business Economy / Management
control
Financial Markets
function
insurance
Life insurance
insurance
actuarial value
control
model
function
life insurance
Online AccessGet full text

Cover

More Information
Summary:The problems of mixed life insurance and insurance in the case of death are considered in the article. The actuarial present value of life insurance is found by solving a system of differential equations. The cases of both constant effective interest rates and variables, depending on the time interval, are examined. The authors used the Pontryagin maximum principle method as the most efficient one, in order to solve the problem of optimal control of the mixed life insurance value. The variable effective interest rate is considered as the control parameter. Some numerical results were given.
ISSN:1810-4967
1812-9358
DOI:10.21511/imfi.14(4).2017.03