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

DOI10.1080/03461238.2015.1025822zbMATH Open1401.91211OpenAlexW2049144934MaRDI QIDQ4575376FDOQ4575376

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

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zbMATH Keywords

martingaleconstraintportfolio choicelife insuranceduality approach

Mathematics Subject Classification ID

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

Cites Work

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

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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