Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method
- This thesis is devoted to deal with the stochastic optimization problems in various situations with the aid of the Martingale method. Chapter 2 discusses the Martingale method and its applications to the basic optimization problems, which are well addressed in the literature (for example, [15], [23] and [24]). In Chapter 3, we study the problem of maximizing expected utility of real terminal wealth in the presence of an index bond. Chapter 4, which is a modification of the original research paper joint with Korn and Ewald [39], investigates an optimization problem faced by a DC pension fund manager under inflationary risk. Although the problem is addressed in the context of a pension fund, it presents a way of how to deal with the optimization problem, in the case there is a (positive) endowment. In Chapter 5, we turn to a situation where the additional income, other than the income from returns on investment, is gained by supplying labor. Chapter 6 concerns a situation where the market considered is incomplete. A trick of completing an incomplete market is presented there. The general theory which supports the discussion followed is summarized in the first chapter.
- Stochastische Optimierung in der Finanzwissenschaft und Lebensversicherung: Anwendungen der Martingal Methode
Verfasser*innenangaben: | Aihua Zhang |
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URN: | urn:nbn:de:hbz:386-kluedo-22126 |
Betreuer*in: | Ralf Korn |
Dokumentart: | Dissertation |
Sprache der Veröffentlichung: | Englisch |
Jahr der Fertigstellung: | 2008 |
Jahr der Erstveröffentlichung: | 2008 |
Veröffentlichende Institution: | Technische Universität Kaiserslautern |
Titel verleihende Institution: | Technische Universität Kaiserslautern |
Datum der Annahme der Abschlussarbeit: | 19.05.2008 |
Datum der Publikation (Server): | 16.06.2008 |
Freies Schlagwort / Tag: | Mathematical Finance; stochastic optimal control |
GND-Schlagwort: | Finanzmathematik; Stochastische optimale Kontrolle |
Fachbereiche / Organisatorische Einheiten: | Kaiserslautern - Fachbereich Mathematik |
DDC-Sachgruppen: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Lizenz (Deutsch): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |