Optimal investment strategies and profit shares distributions: A stochastic control approach

Optimal investment strategies and profit shares distributions: A stochastic control approach

With the advent of Solvency II regulations in 2016, European insurance companies are tasked with calculating technical provisions by either using a standard formula given by regulators or developing their own internal model. This paper first reviews a model adapted to Solvency II regulations for an...

Full description

Bibliographic Details
Main Authors: Lungelo S. Mamba, Gcina M. Maziya, Vusi M. Magagula
Format: Article
Language:English
Published: Elsevier 2023-03-01
Series:Scientific African
Subjects:
Stochastic control
Life insurance
Profit sharing
Dynamic programming
Hamilton-Jacobi-Bellman equation
Monte-Carlo simulation
Online Access:http://www.sciencedirect.com/science/article/pii/S2468227622004203

Internet

http://www.sciencedirect.com/science/article/pii/S2468227622004203

Similar Items