On Merton’s Problem for Life Insurers

DOI10.2143/AST.34.1.504952zbMath1095.91039OpenAlexW4253986882MaRDI QIDQ4661693

Mogens Steffensen

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.34.1.504952

zbMATH Keywords

Markov chainsBellman equationdurable goodspower utilitydividends and bonus

Mathematics Subject Classification ID

Related Items (7)

Entrance times of random walks: with applications to pension fund modeling ⋮ Optimal portfolios with a positive lower bound on final wealth ⋮ The policyholder's static and dynamic decision making of life insurance and pension payments ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ Expected utility approximation and portfolio optimisation ⋮ The Management of Decumulation Risks in a Defined Contribution Pension Plan ⋮ Surplus-linked life insurance

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• A theory of bonus life insurance
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution

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