Weighted utility optimization of the participating endowment contract

DOI10.1080/03461238.2019.1698452zbMath1448.91260OpenAlexW2993832812MaRDI QIDQ5123189

Lin He, Zongxia Liang, Yang Liu, Ming Ma

Publication date: 28 September 2020

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

Full work available at URL: https://doi.org/10.1080/03461238.2019.1698452

zbMATH Keywords

S-shaped utilityconcavification techniqueshighly non-concave optimizationnumerical integration by substitutionparticipating endowment contract

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (2)

Optimal asset allocation, consumption and retirement time with the variation in habitual persistence ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints

Cites Work

• Unnamed Item
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Advances in prospect theory: cumulative representation of uncertainty
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• Optimal investment strategies for participating contracts
• Portfolio optimization under convex incentive schemes
• Optimal investment and consumption decision of a family with life insurance
• Optimal asset allocation for DC pension plans under inflation
• Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• Efficiency in Games With Markovian Private Information
• Calibrated Incentive Contracts
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal portfolio delegation when parties have different coefficients of risk aversion
• Estimation Risk and Incentive Contracts for Portfolio Managers
• Prospect Theory: An Analysis of Decision under Risk
• Valuing variable annuity guarantees on multiple assets
• PROFIT SHARING IN HEDGE FUNDS
• Optimal Control of DC Pension Plan Management under Two Incentive Schemes

This page was built for publication: Weighted utility optimization of the participating endowment contract