Optimal investment-consumption problem: post-retirement with minimum guarantee

DOI10.1016/j.insmatheco.2020.07.006zbMath1457.91327arXiv1803.00611OpenAlexW2790179260MaRDI QIDQ2212151

Hassan Dadashi

Publication date: 19 November 2020

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

Full work available at URL: https://arxiv.org/abs/1803.00611

zbMATH Keywords

HJB equationdecumulation phasedefined contribution planpolicy iteration methodfinal annuity guarantee

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06) Actuarial mathematics (91G05)

Related Items (1)

Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare

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