Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
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Publication:5163685
DOI10.1137/20M1331111zbMath1476.91077arXiv2003.01783OpenAlexW3211002433MaRDI QIDQ5163685
Publication date: 5 November 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.01783
healthcarebackward stochastic differential equationsmortalityGompertz lawconsumption-investment problemEpstein-Zin utilitiesrandom horizons
Optimal stochastic control (93E20) Individual preferences (91B08) Consumer behavior, demand theory (91B42)
Related Items (2)
Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Epstein‐Zin utility maximization on a random horizon
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