Quadratic Optimization of Life and Pension Insurance Payments

DOI10.2143/AST.36.1.2014151zbMath1162.91437OpenAlexW4254126180MaRDI QIDQ3632870

Mogens Steffensen

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014151

Mathematics Subject Classification ID

Related Items (7)

Risk Theory with Affine Dividend Payment Strategies ⋮ Stable dividends under linear-quadratic optimisation ⋮ Optimal reinsurance design under solvency constraints ⋮ The policyholder's static and dynamic decision making of life insurance and pension payments ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ Performance measurement of pension strategies: a case study of Danish life cycle products ⋮ Performance measurement of pension strategies: a case study of Danish life-cycle products

Cites Work

• A theory of bonus life insurance
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Arbitrage Theory in Continuous Time

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