Household lifetime strategies under a self-contagious market

DOI10.1016/j.ejor.2020.05.060zbMath1487.91123OpenAlexW3034812672MaRDI QIDQ2028777

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.05.060

zbMATH Keywords

dynamic programming life insurance investment and consumption self-contagious market stochastic labor income

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items (3)

Mean-Variance Portfolio Selection in Contagious Markets ⋮ Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market ⋮ Surrender contagion in life insurance

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