TY - THES
A1 - Zhang, Aihua
T1 - Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method
N2 - 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.
N2 - Stochastische Optimierung in der Finanzwissenschaft und Lebensversicherung: Anwendungen der Martingal Methode
KW - Finanzmathematik
KW - Stochastische optimale Kontrolle
KW - Mathematical Finance
KW - stochastic optimal control
Y1 - 2008
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1977
UR - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:386-kluedo-22126
ER -