NMAK15011U Control Theory in Finance and Insurance (AAM)

Volume 2015/2016
Education

MSc programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Content

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
Learning Outcome

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.

FinKont (FinKont2) - or similar.
4 hours of lectures per week for 7 weeks
  • Category
  • Hours
  • Course Preparation
  • 177
  • Exam
  • 1
  • Lectures
  • 28
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30min
Oral 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.