Optimal mean-variance efficiency of a family with life insurance under inflation risk
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Publication:2374108
DOI10.1016/J.INSMATHECO.2016.09.004zbMath1371.91158OpenAlexW2523612042MaRDI QIDQ2374108
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.004
dynamic programmingmean-variance efficiencyLagrange dual methodincome-replacement insurancenonlinear HJB equationsreplication of assetssurplus wealth of the family
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