DocumentCode
3291824
Title
A numerical method for a continuous-time insurance-consumption-investment model
Author
Jinchun Ye
fYear
2010
fDate
June 30 2010-July 2 2010
Firstpage
6897
Lastpage
6903
Abstract
A numerical method, Markov chain approximation with the logarithmic transformation, is introduced to set up a numerical framework for the continuous-time insurance-consumption-investment model proposed by the author. An example is provided to demonstrate the proposed numerical method.
Keywords
Markov processes; approximation theory; insurance; investment; Markov chain approximation; continuous-time insurance-consumption-investment; logarithmic transformation; Approximation methods; Boundary conditions; Constraint optimization; Equations; Infinite horizon; Insurance; Marketing and sales; Portfolios; Security; HJB equations; Markov chain; absorbing boundary conditions; approximation; logarithmic transformation; utilities with subsistence levels;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference (ACC), 2010
Conference_Location
Baltimore, MD
ISSN
0743-1619
Print_ISBN
978-1-4244-7426-4
Type
conf
DOI
10.1109/ACC.2010.5531436
Filename
5531436
Link To Document