Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
From MaRDI portal
Publication:3395772
DOI10.2143/AST.38.1.2030412zbMath1169.91329OpenAlexW4238316505MaRDI QIDQ3395772
Mogens Steffensen, Holger Kraft
Publication date: 13 September 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.38.1.2030412
stochastic controlmulti-state modelfinancial decision makingpersonal financemortality-disability-unemployment risk
Related Items (20)
Entrance times of random walks: with applications to pension fund modeling ⋮ Optimal savings management for individuals with defined contribution pension plans ⋮ Optimal consumption, investment and life insurance with surrender option guarantee ⋮ Optimal investment-consumption-insurance with random parameters ⋮ Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Household investment-consumption-insurance policies under the age-dependent risk preferences ⋮ Optimal consumption, investment, and insurance under state-dependent risk aversion ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Life Insurance Purchasing to Maximize Utility of Household Consumption ⋮ Household consumption, investment and life insurance ⋮ The policyholder's static and dynamic decision making of life insurance and pension payments ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Optimal investment, consumption, and life insurance in an incomplete market ⋮ Health shock risk, critical illness insurance, and housing services ⋮ Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Solving life-cycle problems with biometric risk by artificial insurance markets ⋮ Personal finance and life insurance under separation of risk aversion and elasticity of substitution ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
Cites Work
This page was built for publication: Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
