Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment

DOI10.1016/J.INSMATHECO.2019.10.008zbMath1427.91247OpenAlexW2982045701MaRDI QIDQ2010908

Jinchun Ye

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.008

zbMATH Keywords

balance equationbackward stochastic differential equationsmartingale methodreplicating life insurance purchase and portfolio strategiesstochastic utilitiessubsistence and satiation levels

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Actuarial mathematics (91G05)

Related Items (2)

Optimal social welfare policy within financial and life insurance markets ⋮ Optimal portfolio selection with life insurance under subjective survival belief and habit formation

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