The qualitative behaviour of the optimal premium strategy is determined for an insurer in a finite and an infinite market using a deterministic general insurance model. The optimisation problem leads to a system of forward-backward differential equations obtained from Pontryagin's Maximum...

The asymptotic behaviour of the optimal investment strategy for an insurer is analysed for a number of cash flow processes. The insurer's portfolio consists of a risky stock and a bond and the cash flow is assumed to be either a normal or a compound Poisson process. For a normally distributed...

Insurance premiums are calculated using optimal control theory by maximising the terminal wealth of an insurer under a demand law. If the insurer sets a low premium to generate exposure then profits are reduced, whereas a high premium leads to reduced demand. A continuous stochastic model is...

In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity. These decisions are addressed here by introducing a number of income drawdown schemes, which are relevant to a defined-contribution...

In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity. These decisions are addressed here by introducing a number of income drawdown schemes, which are relevant to a defined-contribution...