NMAK14010U Consumption-Investment-Insurance Problems (AAM)

Volume 2014/2015
Education
MSc programme in Actuarial Mathematics
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
Content

In the course, we consider stochastic optimal control theory with particular reference to utility optimization and optimal decisions in life insurance and pensions. We apply dynamic programming and derive Hamilton-Jacobi-Bellman differential equations. We formulate modern investor preferences  and derive optimal consumption, investment and insurance strategies.

Learning Outcome

Knowledge:
- Solution methods and difficulties in stochastic optimal control theory with particular reference to utility optimization.

Competences:
- Confidence in formulation and solution of stochastic control problems.
- Ability to read original research papers in finance and actuarial journals.

Skills:
- Formulate investor preferences.
- Draw up relevant optimization problems in life insurance and pensions.
- Derive optimal consumption, investment and insurance strategies.

Liv1, LivStok, (Liv2) and FinKont - or similar.
5 hours of lectures per week for 7 weeks.
  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 35
  • Preparation
  • 170
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
30-minute oral exam without time for preparation.
Aid
Without aids
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners
Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.