Constrained non-concave utility maximization: an application to life insurance contracts with guarantees (Q1631532): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization under convex incentive schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Towards a General Theory of Good-Deal Bounds* / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the optimal design of insurance contracts with guarantees / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal contracting with moral hazard and behavioral preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment under VaR-regulation and minimum insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling non-monotone risk aversion using SAHARA utility functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and consumption when allowing terminal debt / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex duality in constrained portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment strategies in the presence of a minimum guarantee. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Prospect Theory: An Analysis of Decision under Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio management with American capital guarantee / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4211565 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic impulse control with regime-switching dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Housing, Consumption, and Investment Decisions over the Life Cycle / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dynamic programming approach to constrained portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio delegation when parties have different coefficients of risk aversion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic risk taking with bonus schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment strategies for participating contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimum return guarantees, investment caps, and investment flexibility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Longevity risk and retirement income tax efficiency: a location spending rate puzzle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio management with benchmark related incentives under mean reverting processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Best portfolio insurance for long-term investment strategies in realistic conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to Insurance Mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization with a given pricing measure when the utility is not necessarily concave / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variational Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio policies under bounded expected loss and partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment with deferred capital gains taxes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constant proportion portfolio insurance in defined contribution pension plan management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio policies with borrowing and shortsale constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients / rank
 
Normal rank

Revision as of 14:10, 17 July 2024

scientific article
Language Label Description Also known as
English
Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
scientific article

    Statements

    Constrained non-concave utility maximization: an application to life insurance contracts with guarantees (English)
    0 references
    0 references
    6 December 2018
    0 references
    logarithmic utility
    0 references
    0 references
    0 references

    Identifiers