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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. |