Existence of optimal consumption strategies in markets with longevity risk
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Recommendations
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Cites work
- scientific article; zbMATH DE number 1183917 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 3238721 (Why is no real title available?)
- A decomposition of Bessel Bridges
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- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
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- Ordinary differential equations and dynamical systems
- Portfolio choice under space-time monotone performance criteria
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- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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- The explicit Laplace transform for the Wishart process
- The role of longevity bonds in optimal portfolios
Cited in
(8)- Lifetime asset allocation with idiosyncratic and systematic mortality risks
- The role of longevity bonds in optimal portfolios
- A multi-curve HJM factor model for pricing and risk management
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Hedging longevity risk in defined contribution pension schemes
- Household lifetime strategies under a self-contagious market
- Asset demands and consumption with longevity risk
- Pension funds with longevity risk: an optimal portfolio insurance approach
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