Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

DOI10.1080/10920277.2015.1041987zbMath1414.91246OpenAlexW3121562336MaRDI QIDQ5379156

Xudong Zeng, Yuling Wang, James M. Carson

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2015.1041987

zbMATH Keywords

life insuranceportfolio choicerisk aversion utility functionsstochastic wage risk

Mathematics Subject Classification ID

Related Items (9)

Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market ⋮ Household investment-consumption-insurance policies under the age-dependent risk preferences ⋮ Optimal investment, consumption and life insurance purchase with learning about return predictability ⋮ Indifference pricing under SAHARA utility ⋮ Annuitization and asset allocation under exponential utility ⋮ Household lifetime strategies under a self-contagious market ⋮ Life-Cycle Planning with Ambiguous Economics and Mortality Risks ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Cites Work

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• Optimal consumption-portfolio choices and retirement planning
• Why the young do not buy long-term care insurance
• Hedging in incomplete markets with HARA utility
• Neglecting disaster: why don't people insure against large losses?
• Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
• Dynamic asset allocation when bequests are luxury goods
• Household consumption, investment and life insurance
• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• The Calculus of Retirement Income
• Life Insurance Purchasing to Maximize Utility of Household Consumption

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