An efficient frontier for participating policies in a continuous-time economy

DOI10.1016/J.INSMATHECO.2004.08.005zbMath1122.91331OpenAlexW2085348839MaRDI QIDQ2485532

Shoji Yumae, Hideki Iwaki

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.08.005

zbMATH Keywords

Continuous-time modelMartingale methodOptimal portfolioParticipating policiesTrading and payment strategy

Mathematics Subject Classification ID

Cites Work

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• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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