Optimal life insurance with no-borrowing constraints: duality approach and example

DOI10.1080/03461238.2015.1025822MaRDI QIDQ4575376zbMATH OpenOpenAlexFDO

Authors Xudong Zeng, James M. Carson, Qi Hong Chen, Yuling Wang

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

zbMATH Keywords

martingaleconstraintportfolio choicelife insuranceduality approach

Mathematics Subject Classification ID

Portfolio theory (91G10) Generalizations of martingales (60G48)

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Cites work

• Labor income, borrowing constraints, and equilibrium asset prices
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal Consumption with a Stochastic Income Stream
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal investment and consumption decision of a family with life insurance
• Portfolio Selection with Transaction Costs
• Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing

Cited in

(4)

• Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Insurance with borrowing: first- and second-order approximations
• The impact of a partial borrowing limit on financial decisions

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