Optimal consumption, investment and life insurance with surrender option guarantee

DOI10.1080/03461238.2013.775964zbMath1398.91336OpenAlexW2023331878MaRDI QIDQ4576760

Mogens Steffensen, Morten Tolver Kronborg

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.775964

zbMATH Keywords

stochastic controllife insurancemartingale methodCRRA utilityoption-based portfolio insurancerate guarantee

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach ⋮ A dynamic programming approach to path-dependent constrained portfolios ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Optimal investment-consumption and life insurance with capital constraints ⋮ Optimal investment-consumption-insurance with random parameters ⋮ Lifetime asset allocation with idiosyncratic and systematic mortality risks ⋮ Optimal retirement time under habit persistence: what makes individuals retire early? ⋮ Household investment-consumption-insurance policies under the age-dependent risk preferences ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness

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