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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

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Author:Aihua Zhang
URN (permanent link):urn:nbn:de:hbz:386-kluedo-22126
Advisor:Ralf Korn
Document Type:Doctoral Thesis
Language of publication:English
Year of Completion:2008
Year of Publication:2008
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2008/05/19
Date of the Publication (Server):2008/06/16
Tag:Mathematical Finance; stochastic optimal control
GND-Keyword:Finanzmathematik; Stochastische optimale Kontrolle
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011