Household consumption, investment and life insurance
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Publication:2276237
DOI10.1016/J.INSMATHECO.2010.12.004zbMATH Open1218.91045OpenAlexW3124814767MaRDI QIDQ2276237FDOQ2276237
Mogens Steffensen, Kenneth Bruhn
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.12.004
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Applications of continuous-time Markov processes on discrete state spaces (60J28) Utility theory (91B16) Optimal stochastic control (93E20)
Cites Work
Cited In (24)
- Optimal retirement planning with a focus on single and joint life annuities
- Two-player zero-sum stochastic differential games with random horizon
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Entrance times of random walks: with applications to pension fund modeling
- On retirement time decision making
- Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
- A combined stochastic programming and optimal control approach to personal finance and pensions
- Optimal investment, consumption, and life insurance in an incomplete market
- Solving life-cycle problems with biometric risk by artificial insurance markets
- Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- Mutual aid insurance with a three-state Markov chain
- Life Insurance Purchasing to Maximize Utility of Household Consumption
- Life-cycle consumption and life insurance: empirical evidence from Italian survey
- Optimal investment-consumption-insurance with random parameters
- Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Health shock risk, critical illness insurance, and housing services
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal retirement time under habit persistence: what makes individuals retire early?
- A life insurance model with asymmetric time preferences
- Dynamic Portfolio Choice with Stochastic Wage and Life Insurance
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