Skip navigation

상단메뉴

글로벌메뉴

좌측메뉴

학술행사

검색

Seminars

Seminar
FIELD Math:Applied Mathematics
DATE October 25 (Thu), 2018
TIME 16:00-17:30
PLACE 1424
SPEAKER Junkee Jeon
HOST Kang, Nam-Gyu
INSTITUTE 경희대학교
TITLE Optimal insurance with limited commitment in a finite horizon
ABSTRACT In this talk we study a finite horizon optimal contract problem with limited commitment in continuous time. We use the dual method and study the dual problem which is similar to an incremental irreversible investment problem. We transform the dual problem into an infinite series of optimal stopping problems, which essentially becomes a single optimal stopping problem. The optimal stopping problem has the same characteristics as that of finding the optimal exercise time of an American option, which has an integral equation representation. We recover the value function by establishing a duality relationship and provide some numerical results for optimal consumption strategies. This talk is based on a joint work with Hyeng Kuen Koo.
FILE  
  • list

date

~