Existence of optimal consumption strategies in markets with longevity risk
From MaRDI portal
Publication:506076
DOI10.1016/j.insmatheco.2016.10.013zbMath1394.91246OpenAlexW2531424830MaRDI QIDQ506076
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.013
Related Items (4)
Lifetime asset allocation with idiosyncratic and systematic mortality risks ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Macro longevity risk and the choice between annuity products: evidence from Denmark
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Affine processes for dynamic mortality and actuarial valuations
- A note on optimal investment-consumption-insurance in a Lévy market
- Term-structure models. A graduate course
- On changes of measure in stochastic volatility models
- The role of longevity bonds in optimal portfolios
- Optimal investment decisions when time-horizon is uncertain
- Lifetime consumption and investment: retirement and constrained borrowing
- Annuitization and asset allocation
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal asset allocation in life annuities: a note.
- Squared Bessel processes and their applications to the square root interest rate model
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Optimal retirement consumption with a stochastic force of mortality
- Affine stochastic mortality
- Optimal investment strategies in a CIR framework
- Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds
- The Explicit Laplace Transform for the Wishart Process
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- Portfolio Choice under Space-Time Monotone Performance Criteria
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
- A decomposition of Bessel Bridges
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
This page was built for publication: Existence of optimal consumption strategies in markets with longevity risk
