Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Optimization and Control
2010-08-31 v1 Portfolio Management
Abstract
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the shocks. This optimization problem is related to a suitable dual stochastic control problem in which the delicate boundary constraints disappear. We characterize the dual value function as the unique viscosity solution of the corresponding a Hamilton Jacobi Bellman Variational Inequality (HJBVI in short).
Cite
@article{arxiv.1008.5058,
title = {Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach},
author = {Mohamed Mnif},
journal= {arXiv preprint arXiv:1008.5058},
year = {2010}
}