Optimal life insurance with no-borrowing constraints: duality approach and example
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Publication:4575376
DOI10.1080/03461238.2015.1025822zbMath1401.91211OpenAlexW2049144934MaRDI QIDQ4575376
Yuling Wang, Xudong Zeng, Qihong Chen, James M. Carson
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1025822
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Related Items (3)
The impact of a partial borrowing limit on financial decisions ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
Cites Work
- Lifetime consumption and investment: retirement and constrained borrowing
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Labor income, borrowing constraints, and equilibrium asset prices
- Optimal consumption and portfolio choice with borrowing constraints
- Optimal investment and consumption decision of a family with life insurance
- Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
- Optimal Consumption with a Stochastic Income Stream
- Portfolio Selection with Transaction Costs
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