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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
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.