Comsumption and portfolio optimization in life insurance

Specialeforsvar ved Hung Vo Bao Nguyen

Titel: Consumption and portfolio optimization  in life insurance


Abstract: In this paper we will examine the impact of stochastic mortality and longevity derivative for an agent’s decisions regarding maximization of his utility and solve the corresponding Bellman equation. We will derive the dynamic of the optimal consumption and stock investment strategy with the hope of obtaining expressions that may be simulated for a numerical study. Furthermore we will examine the cases of deterministic mortality and stochastic mortality without longevity derivative in order to compare with the base model. We will simulate the consumption dynamic for the base model to examine parameter sensitivity for the mortality process and compare this dynamic to the one with deterministic mortality




Vejleder: Mogens Steffensen
Censor:   Kenneth Bruhn, Edlund