Title :
A numerical method for a continuous-time insurance-consumption-investment model
fDate :
June 30 2010-July 2 2010
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;
Conference_Titel :
American Control Conference (ACC), 2010
Conference_Location :
Baltimore, MD
Print_ISBN :
978-1-4244-7426-4
DOI :
10.1109/ACC.2010.5531436
