NMAK15011U Control Theory in Finance and Insurance (AAM)
MSc programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Stochastic optimal control problems in Finance and Insurance
- Introduction to the theory of dynamic programming and Hamilton-Jacobi-Bellman differential equations
- Methods of solution presented through examples in Finance and Insurance
- Extending the class of optimal control problems by introducing:
- Stochastic interest rates in financial market
- Housing and mortgages
- Labor income and education
- Habit formation and recursive utility
Knowledge:
- Optimal control theory in relation to finance and
insurance
Skills:
At the end of the course the student is expected to be able to
- Heuristically derive verification theorems of HJB-equations
- Formulate and solve a broad class of stochastic control problems including stochastic interest, housing, labor income and non-standard utility preferences.
Competences:
- Knowledge of main theory behind stochastic control problems in
Finance and Insurance.
- Ability to read original research papers in finance and actuarial
journals.
- Category
- Hours
- Course Preparation
- 177
- Exam
- 1
- Lectures
- 28
- Total
- 206
As
an exchange, guest and credit student - click here!
Continuing Education - click here!
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30minOral exam without time for preperation
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several intrenal 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
- NMAK15011U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- C
- 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
- Maj-Britt Nordfang (10-6f647071746668637069426f63766a306d7730666d)
Lecturers
Mogens Steffensen,
Maj-Britt Nordfang