Weighted utility optimization of the participating endowment contract
From MaRDI portal
Publication:5123189
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
S-shaped utilityconcavification techniqueshighly non-concave optimizationnumerical integration by substitutionparticipating endowment contract
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