Household investment-consumption-insurance policies under the age-dependent risk preferences

DOI10.1080/00207179.2022.2100278MaRDI QIDQ6076597zbMATH OpenFDO

Authors Ning Wang, Lin Xu, Xing-Yu Yan

Publication date 17 October 2023

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2022.2100278

zbMATH Keywords

age-dependent risk aversionconsumptioninvestmentlife insurancemartingale method

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Consumer behavior, demand theory (91B42) Actuarial mathematics (91G05)

Recommendations

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Cites work

• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• Dynamic portfolio choice with stochastic wage and life insurance
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Life-cycle planning with ambiguous economics and mortality risks
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Optimal consumption and investment under time-varying relative risk aversion
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• Optimal consumption, investment and life insurance with surrender option guarantee
• Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Optimal investment-consumption-insurance with random parameters
• Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Optimal portfolio, consumption and retirement decision under a preference change
• Optimum consumption and portfolio rules in a continuous-time model
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Robust consumption and portfolio choice for time varying investment opportunities

Cited in

(1)

• Life-cycle planning model with inflation and time-varying consumption constraints

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