REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE

DOI10.1017/asb.2019.34zbMath1431.91338OpenAlexW2993483337WikidataQ126666822 ScholiaQ126666822MaRDI QIDQ5213444

Xiaoqing Liang, Virginia R. Young

Publication date: 3 February 2020

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

Full work available at URL: https://doi.org/10.1017/asb.2019.34

zbMATH Keywords

robust controlstochastic controlambiguity aversionoptimal investmentterm life insurancebequest motivepenalized probability

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (2)

Minimizing the probability of absolute ruin under ambiguity aversion ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

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