Consumption, investment and life insurance strategies with heterogeneous discounting

DOI10.1016/J.INSMATHECO.2013.10.008zbMATH Open1291.91140OpenAlexW3124181964MaRDI QIDQ2015474FDOQ2015474

Oriol Roch, Jorge Navas, Jesús Marín-Solano, Albert de-Paz

Publication date: 23 June 2014

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

Full work available at URL: http://hdl.handle.net/2445/33979

zbMATH Keywords

time-consistencylife insuranceconsumption and portfolio rulesheterogeneous discounting

Mathematics Subject Classification ID

Dynamic programming (90C39)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Time-Consistent Portfolio Management
• Consumption and portfolio rules for time-inconsistent investors
• The golden rule when preferences are time inconsistent
• Non-constant discounting in continuous time
• Title not available (Why is that?)
• The Calculus of Retirement Income
• A consumption-investment problem with heterogeneous discounting
• Heterogeneous discounting in economic problems

Cited In (13)

• Title not available (Why is that?)
• A solution method for heterogeneity involving present bias
• Time-consistent portfolio optimization
• A defined benefit pension plan model with stochastic salary and heterogeneous discounting
• Household investment-consumption-insurance policies under the age-dependent risk preferences
• Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
• Life-cycle consumption and life insurance: empirical evidence from Italian survey
• Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Goal-based portfolio choice model with discounted preference
• Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
• A life insurance model with asymmetric time preferences
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution

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