Consumption, investment and life insurance strategies with heterogeneous discounting

DOI10.1016/j.insmatheco.2013.10.008zbMath1291.91140OpenAlexW3124181964MaRDI QIDQ2015474

Oriol Roch, Jesús Marín-Solano, Albert de-Paz, Jorge A. Navas

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/33979

zbMATH Keywords

life insurancetime-consistencyconsumption and portfolio rulesheterogeneous discounting

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (8)

Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model ⋮ Goal-based portfolio choice model with discounted preference ⋮ Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps ⋮ A solution method for heterogeneity involving present bias ⋮ Time-consistent portfolio optimization ⋮ Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework

Cites Work

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• Consumption and portfolio rules for time-inconsistent investors
• The golden rule when preferences are time inconsistent
• Time-Consistent Portfolio Management
• Heterogeneous discounting in economic problems
• The Calculus of Retirement Income

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