Existence of optimal consumption strategies in markets with longevity risk (Q506076): Difference between revisions

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+OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
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+Affine processes for dynamic mortality and actuarial valuations
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+Optimal investment decisions when time-horizon is uncertain
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Optimal retirement consumption with a stochastic force of mortality
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+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
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+Optimal portfolios with stochastic interest rates and defaultable assets.
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+OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
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+SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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+The role of longevity bonds in optimal portfolios
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+Longevity-linked assets and pre-retirement consumption/portfolio decisions
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+Optimum consumption and portfolio rules in a continuous-time model
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+On changes of measure in stochastic volatility models
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