Optimal investment and life insurance strategies under minimum and maximum constraints
From MaRDI portal
Publication:938028
DOI10.1016/J.INSMATHECO.2007.09.007zbMATH Open1140.91425OpenAlexW1969891519MaRDI QIDQ938028FDOQ938028
Authors: Peter Holm Nielsen, Mogens Steffensen 
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.007
Recommendations
- Optimal investment strategy for insurers under linear constraint
- Optimal investment and proportional reinsurance with constrained control variables
- Portfolio optimization under Solvency II
- Optimal insurance in a continuous-time model
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal insurance in a continuous-time model
- A variational problem arising in financial economics
- Correspondence between lifetime minimum wealth and utility of consumption
- Title not available (Why is that?)
Cited In (23)
- Optimal portfolios with sustainable assets: aspects for life insurers
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Die Bestimmung individueller Lebensversicherungsangebote als nicht-lineares Optimierungsproblem
- A combined stochastic programming and optimal control approach to personal finance and pensions
- Optimal investment, consumption, and life insurance in an incomplete market
- Optimal investment strategy for insurers under linear constraint
- On the optimal design of insurance contracts with guarantees
- Performance measurement of pension strategies: a case study of Danish life cycle products
- What to offer if consumers do not want what they need? A simultaneous evaluation approach with an application to retirement savings products
- Possibilistic individual multi-period consumption-investment models
- Optimal investment and consumption decision of a family with life insurance
- The policyholder's static and dynamic decision making of life insurance and pension payments
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal consumption, investment and life insurance with surrender option guarantee
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- Life insurance purchasing to maximize utility of household consumption
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
This page was built for publication: Optimal investment and life insurance strategies under minimum and maximum constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q938028)
