Optimal investment and life insurance strategies under minimum and maximum constraints

DOI10.1016/j.insmatheco.2007.09.007zbMath1140.91425OpenAlexW1969891519MaRDI QIDQ938028

Peter Holm Nielsen, Mogens Steffensen

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.007

zbMATH Keywords

optimizationlife insuranceasset allocation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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