Annuitization and asset allocation under exponential utility
Year of publication: |
March 2018
|
---|---|
Authors: | Liang, Xiaoqing ; Young, Virginia R. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 167-183
|
Subject: | Life annuities | Optimal consumption | Optimal investment | Stochastic control | Free-boundary problem | Portfolio-Management | Portfolio selection | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process | Leibrente | Life annuity | Kapitalanlage | Financial investment | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Altersvorsorge | Retirement provision | Kontrolltheorie | Control theory |
-
An eļ¬cient Monte Carlo based approach for the simulation of future annuity values
Bacinello, Anna Rita, (2021)
-
Optimal annuitization under stochastic interest rates
Dillschneider, Yannick, (2024)
-
Time restrictions on life annuity benefits : portfolio risk profiles
Olivieri, Annamaria, (2022)
- More ...
-
Minimizing the probability of ruin : optimal per-loss reinsurance
Liang, Xiaoqing, (2018)
-
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Liang, Xiaoqing, (2020)
-
Minimizing the probability of lifetime ruin : two riskless assets with transaction costs
Liang, Xiaoqing, (2019)
- More ...