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

DOI10.1016/J.INSMATHECO.2019.10.008MaRDI QIDQ2010908zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

backward stochastic differential equationsmartingale methodbalance equationreplicating life insurance purchase and portfolio strategiesstochastic utilitiessubsistence and satiation levels

Mathematics Subject Classification ID

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

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Cites work

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• Backward Stochastic Differential Equations in Finance
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
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• Optimum consumption and portfolio rules in a continuous-time model
• Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
• Random distribution kernels and three types of defaultable contingent payoffs

Cited in

(7)

• scientific article; zbMATH DE number 7403683 (Why is no real title available?)
• 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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