Numerical methods for optimal insurance demand under marked point processes shocks

Mohamed Mnif

Abstract: This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the shocks. This optimization problem is related to a suitable dual stochastic control problem in which the delicate boundary constraints disappear. In Mnif \cite{mnif10}, the dual value function is characterized as the unique viscosity solution of the corresponding Hamilton Jacobi Bellman Variational Inequality (HJBVI in short). We characterize the optimal insurance strategy by the solution of the variational inequality which we solve numerically by using an algorithm based on policy iterations.

Date: 2010-09
New Economics Papers: this item is included in nep-cmp and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1009.0635 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1009.0635

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().