Olha Yevtushenko
Country: Ukraine
Affiliation: Ph.D., Senior Lecturer, Department of Innovation Management and International Logistics, Alfred Nobel University.
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Optimal control of continuous life insurance model
Viktor Oliynyk , Fedir Zhuravka , Tetiana Bolgar , Olha Yevtushenko doi: http://dx.doi.org/10.21511/imfi.14(4).2017.03Investment Management and Financial Innovations Volume 14, 2017 Issue #4 pp. 21-29
Views: 1969 Downloads: 221 TO CITE АНОТАЦІЯThe problems of mixed life insurance and insurance in the case of death are considered in the article. The actuarial present value of life insurance is found by solving a system of differential equations. The cases of both constant effective interest rates and variables, depending on the time interval, are examined. The authors used the Pontryagin maximum principle method as the most efficient one, in order to solve the problem of optimal control of the mixed life insurance value. The variable effective interest rate is considered as the control parameter. Some numerical results were given.