Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
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Publication:1631532
DOI10.1016/J.EJOR.2018.09.002zbMath1403.91190OpenAlexW2891929261WikidataQ129250761 ScholiaQ129250761MaRDI QIDQ1631532
Publication date: 6 December 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.09.002
Related Items (17)
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ Portfolio optimization with wealth-dependent risk constraints ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ Weighted utility optimization of the participating endowment contract ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints ⋮ Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy ⋮ MODERN LIFE-CARE TONTINES ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
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