General framework for managing the optimal strategies for an economic agent with uncertain lifetime
Dissertant
Thesis advisor
University
Birzeit University
Faculty
Faculty of Science
Department
Department of Mathematics
University Country
Palestine (West Bank)
Degree
Master
Degree Date
2022
English Abstract
In this Thesis we introduce an extension continuous time model for the famous Merton’s model by considering the problem of an economic agent whose lifetime is uncertain and aims to determine the optimal strategies concerning social welfare purchase, life insurance purchase, consumption and investment.
The economic agent aims to maximize an expected utility obtained from family consumption, size of estate in the event of premature death, and size of estate at retirement time if she lives that long.
We assume that the economic agent agrees to sign contract with a selected (i) social welfare provider from an available social welfare market composed of finite number of welfare providers, and (ii) life insurance company from available life insurance market composed of finite number of life insurance providers.
Meanwhile, first we assume that the economic agent invests all her saving in a financial market consists of one risky free asset and one risky asset.
An extension to the problem under consideration is being formulated when the economic agent invests her saving in a financial market consists of finite number of risky assets.
We restate the problem under consideration as an optimal control problem and apply the DPP to drive the corresponding HJB equation, a second order nonlinear PDE whose solution is the desired objective function.
Finally, we manage to find explicit solution for the optimal strategies.
Main Subjects
No. of Pages
84
Table of Contents
Table of contents.
Abstract.
Abstract in Arabic.
Chapter One : Introduction.
Chapter Two : Basic preliminaries.
Chapter Three : Optimal strategies within a social market of L welfare providers and one risky asset.
Chapter Four : Generalized form : optimal strategies within a social market of L welfare providers and financial market of N risky assets.
Chapter Five : Conclusion.
References.
American Psychological Association (APA)
Shuraytih, Salam. (2022). General framework for managing the optimal strategies for an economic agent with uncertain lifetime. (Master's theses Theses and Dissertations Master). Birzeit University, Palestine (West Bank)
https://search.emarefa.net/detail/BIM-1429289
Modern Language Association (MLA)
Shuraytih, Salam. General framework for managing the optimal strategies for an economic agent with uncertain lifetime. (Master's theses Theses and Dissertations Master). Birzeit University. (2022).
https://search.emarefa.net/detail/BIM-1429289
American Medical Association (AMA)
Shuraytih, Salam. (2022). General framework for managing the optimal strategies for an economic agent with uncertain lifetime. (Master's theses Theses and Dissertations Master). Birzeit University, Palestine (West Bank)
https://search.emarefa.net/detail/BIM-1429289
Language
English
Data Type
Arab Theses
Record ID
BIM-1429289
