Optimal strategies for an economic-agent in a continuous time model within social security system

مقدم أطروحة جامعية

Khalil, Sundus

مشرف أطروحة جامعية

Musa, Abd al-Rahim S.

الجامعة

جامعة بيرزيت

الكلية

كلية العلوم

القسم الأكاديمي

دائرة الرياضيات

دولة الجامعة

فلسطين (الضفة الغربية)

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2018

الملخص الإنجليزي

In this Thesis we introduce a continuous life-time model for an economic-agent whose lifetime is uncertain and who invests his total savings in a financial market composed of one risk-free asset and one risky asset while buying life-insurance to protect his family in case of premature death.

We also assume that this economic-agent contributes in the social security system, which can be private or governmental sector.

This economic-agent is then faced with the problem of finding strategies that maximize the expected utility obtained from consumption, the size of his estate in the event of premature death and the size of his fortune at time of retirement if he lives that long.

We use dynamic programming techniques to derive a second order nonlinear partial differential equation.

Using CRRA utility functions together with the effect of the social security system, we characterize the optimal strategies of consumption, investment and life insurance selection.

التخصصات الرئيسية

الرياضيات

الموضوعات

• الضمان الاجتماعي

عدد الصفحات

61

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-837094