REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE (Q5213444): Difference between revisions

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scientific article; zbMATH DE number 7162004

Language	Label	Description	Also known as
English	REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE	scientific article; zbMATH DE number 7162004

Statements

instance of

scholarly article

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title

REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE (English)

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3 February 2020

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zbMATH Keywords

bequest motive

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optimal investment

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term life insurance

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ambiguity aversion

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stochastic control

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robust control

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penalized probability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/asb.2019.34

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cites work

Purchasing life insurance to reach a bequest goal

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Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

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Correspondence between lifetime minimum wealth and utility of consumption

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Optimally investing to reach a bequest goal

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Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

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Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

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Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark

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Reaching goals by a deadline: digital options and continuous-time active portfolio management

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Q5343895

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Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

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Robust reinsurance contracts with uncertainty about jump risk

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INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT

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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

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Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

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Maximizing a robust goal-reaching probability with penalization on ambiguity

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Self-Annuitization and Ruin in Retirement

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Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement

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Continuous-Time Red and Black: How to Control a Diffusion to a Goal

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Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution

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Q3151170

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Optimal Investment

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On minimizing the ruin probability by investment and reinsurance

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Controlling a Process to a Goal in Finite Time

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

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Lifetime ruin under ambiguous hazard rate

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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

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Identifiers

zbMATH Open document ID

1431.91338

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5213444

@@ Property / DOI @@
-.1017/asb.2019.34
@@ Property / DOI: 10.1017/asb.2019.34 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1017/asb.2019.34
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@@ Property / OpenAlex ID: W2993483337 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q126666822
@@ Property / Wikidata QID: Q126666822 / rank @@
+Normal rank
@@ Property / cites work @@
+Purchasing life insurance to reach a bequest goal
@@ Property / cites work: Purchasing life insurance to reach a bequest goal / rank @@
+Normal rank
@@ Property / cites work @@
+Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
+Normal rank
@@ Property / cites work @@
+Correspondence between lifetime minimum wealth and utility of consumption
+Normal rank
@@ Property / cites work @@
+Optimally investing to reach a bequest goal
@@ Property / cites work: Optimally investing to reach a bequest goal / rank @@
+Normal rank
@@ Property / cites work @@
+Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
+Normal rank
@@ Property / cites work @@
+Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
+Normal rank
@@ Property / cites work @@
+Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
+Normal rank
@@ Property / cites work @@
+Reaching goals by a deadline: digital options and continuous-time active portfolio management
+Normal rank
@@ Property / cites work @@
+Q5343895
@@ Property / cites work: Q5343895 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
+Normal rank
@@ Property / cites work @@
+Robust reinsurance contracts with uncertainty about jump risk
+Normal rank
@@ Property / cites work @@
+INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
+Normal rank
@@ Property / cites work @@
+Maximizing a robust goal-reaching probability with penalization on ambiguity
+Normal rank
@@ Property / cites work @@
+Self-Annuitization and Ruin in Retirement
@@ Property / cites work: Self-Annuitization and Ruin in Retirement / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
+Normal rank
@@ Property / cites work @@
+Continuous-Time Red and Black: How to Control a Diffusion to a Goal
+Normal rank
@@ Property / cites work @@
+Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
+Normal rank
@@ Property / cites work @@
+Q3151170
@@ Property / cites work: Q3151170 / rank @@
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal Investment
@@ Property / cites work: Optimal Investment / rank @@
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Controlling a Process to a Goal in Finite Time
@@ Property / cites work: Controlling a Process to a Goal in Finite Time / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
+Normal rank
@@ Property / cites work @@
+Lifetime ruin under ambiguous hazard rate
@@ Property / cites work: Lifetime ruin under ambiguous hazard rate / rank @@
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / DOI @@
+.1017/ASB.2019.34
@@ Property / DOI: 10.1017/ASB.2019.34 / rank @@
+Normal rank