Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

DOI10.1016/j.insmatheco.2022.11.001OpenAlexW4309039461MaRDI QIDQ2681448

Yanyan Li

Publication date: 3 February 2023

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

Full work available at URL: https://arxiv.org/abs/2206.03116

zbMATH Keywords

life insuranceoptimal consumptionpiecewise feedback controlconsumption drawdown constraintshortfall aversion

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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