Stochastic utilities with subsistence and satiation : optimal life insurance purchase, consumption and investment
Year of publication: |
2019
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Authors: | Ye, Jinchun |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 89.2019, p. 193-212
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Subject: | Backward stochastic differential equations | Balance equation | Martingale method | Replicating life insurance purchase and portfolio strategies | Stochastic utilities | Subsistence and satiation levels | Stochastischer Prozess | Stochastic process | Theorie | Theory | Lebensversicherung | Life insurance | Portfolio-Management | Portfolio selection | Analysis | Mathematical analysis |
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