The policyholder's static and dynamic decision making of life insurance and pension payments

DOI10.1007/s11857-008-0060-4zbMath1293.91096OpenAlexW3124436881MaRDI QIDQ2511471

Mogens Steffensen, Holger Kraft

Publication date: 5 August 2014

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-008-0060-4

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (1)

Optimal consumption, investment, and insurance under state-dependent risk aversion

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment and life insurance strategies under minimum and maximum constraints
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Quadratic Optimization of Life and Pension Insurance Payments
• Reserves in Life and Pension Insurance
• On Merton’s Problem for Life Insurers
• Markov Chain Models in Life Insurance
• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance

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