Workshop: Optimization and Optimal Control
Time: Fri, October 24, 2008, 09:50-10:40
Speaker: Mogens Steffensen
Abstract
We introduce a family of models used in life insurance and credit risk. Control problems in these models have a wide set of applications. We discuss particularities of the models, e.g. that the number of 'sources of randomness' as well as the number of 'control processes' are themselves stochastic processes. We characterize the optimal control, even explicitly in the case where the number of 'sources of randomness' and the number of 'control processes' coincide which essentially means complete markets. We interpret the results in two concrete cases: Optimal insurance protection against disability and unemployment risk in personal finance and portfolio optimization with reduced-form modelled credit risky investments.
Presentation slides (pdf, 440 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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