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Document Details :

Title: Quadratic Optimization of Life and Pension Insurance Payments
Author(s): STEFFENSEN, Mogens
Journal: ASTIN Bulletin
Volume: 36    Issue: 1   Date: May 2006   
Pages: 245-267
DOI: 10.2143/AST.36.1.2014151

Abstract :
Quadratic optimization is the classical approach to optimal control of pension funds. Usually the payment stream is approximated by a diffusion process. Here we obtain semiexplicit solutions for quadratic optimization in the case where the payment process is driven by a finite state Markov chain model commonly used in life insurance mathematics. The optimal payments are affine in the surplus with state dependent coefficients.Also constraints on payments and surplus are studied.