Life insurance decisions under recursive utility
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Publication:5743528
DOI10.1080/03461238.2018.1541025zbMath1411.91288OpenAlexW2898708253MaRDI QIDQ5743528
Publication date: 10 May 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2018.1541025
stochastic controlrecursive utilitylifetime uncertaintygeneralized Hamilton-Jacobi-Bellman equationhump-shaped consumption
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Related Items (3)
Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ Nonrecursive separation of risk and time preferences ⋮ Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
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- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Stochastic Differential Utility
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Consumption Over the Life Cycle
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