Optimal consumption, investment, and insurance under state-dependent risk aversion

DOI10.1017/ASB.2022.25zbMath1519.91224MaRDI QIDQ6163456

Mogens Steffensen, Unnamed Author

Publication date: 26 June 2023

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmultistate modelsstate-dependent utilitythe disability model

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Optimal investment and consumption decision of a family with life insurance
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• A preference change and discretionary stopping in a consumption and portfolio selection problem
• The investment horizon problem: a possible resolution
• Risk Aversion for State-Dependent Utility Functions: Measurement and Applications
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Risk and Insurance
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

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