Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
DOI10.1016/J.INSMATHECO.2019.10.008zbMATH Open1427.91247OpenAlexW2982045701MaRDI QIDQ2010908FDOQ2010908
Authors: 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
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backward stochastic differential equationsmartingale methodbalance equationreplicating life insurance purchase and portfolio strategiesstochastic utilitiessubsistence and satiation levels
Actuarial mathematics (91G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
Cites Work
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Cited In (7)
- Title not available (Why is that?)
- Household utility maximization with life insurance: a CES utility case
- Optimal social welfare policy within financial and life insurance markets
- Optimal investment, consumption and life insurance under stochastic framework
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
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