NMAK14010U Consumption-Investment-Insurance Problems (AAM)
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
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.
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.
- Category
- Hours
- Exam
- 1
- Lectures
- 35
- Preparation
- 170
- Total
- 206
As
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- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes30-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.
Course information
- Language
- English
- Course code
- NMAK14010U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 4
- Schedule
- C (Mon 13-17 + Wednes 8-17)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Ninna Reitzel Jensen (12-746f747467786b6f7a806b72466d73676f7234697573)
Lecturers
Ninna Reitzel Jensen
Mogens Steffensen