Optimal life insurance with no-borrowing constraints: duality approach and example

DOI10.1080/03461238.2015.1025822zbMath1401.91211OpenAlexW2049144934MaRDI QIDQ4575376

Yuling Wang, Xudong Zeng, Qihong Chen, James M. Carson

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1025822

zbMATH Keywords

martingaleconstraintlife insuranceportfolio choiceduality approach

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Portfolio theory (91G10)

Related Items (3)

The impact of a partial borrowing limit on financial decisions ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness

Cites Work

• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Labor income, borrowing constraints, and equilibrium asset prices
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal investment and consumption decision of a family with life insurance
• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
• Optimal Consumption with a Stochastic Income Stream
• Portfolio Selection with Transaction Costs

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