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arXiv · 1008.5058

Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach

Mohamed Mnif
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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).

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Mohamed Mnif. 2010-08-30. Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach. https://arxiv.org/abs/1008.5058

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