Optimum Future Premiums and Discounts Using Utility Functions
Mallappa and A. S. TalawarIn this paper we try to determine discounted future optimum premium values for exponential and quadratic utility function using optimal control theory such as Hamiltonian- Jacobi Bellman (HJB) equation. We optimize level discounted future premiums for the annuity using some continuous and discrete analogues of continuous loss distributions. Comparisons are made to level premiums for these distributions using arbitrary values of force of interest.