Optimal investment-consumption and life insurance with capital constraints

DOI10.1080/03610926.2018.1549246MaRDI QIDQ5085601zbMATH OpenOpenAlexFDO

Authors Calisto Guambe, Rodwell Kufakunesu

Publication date 27 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.04613

zbMATH Keywords

incomplete marketjump-diffusionmartingale methodoptimal investment-consumption-insuranceoption based portfolio insurance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(8)

• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• Optimal investment, consumption and life insurance under stochastic framework
• Capital requirements and optimal investment with solvency probability constraints
• scientific article; zbMATH DE number 7572534 (Why is no real title available?)
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Optimal investment, consumption-leisure, insurance and retirement choice

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