We establish a connection between continuous-time recursive utility and the notion of consistency studied, in particular, in connection with the non-linear objective mean-variance. We propose a time-global optimization problem and show that the optimal time-consistent solution to this...

This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...

We calculate reserves regarding expected policy holder behavior. The behavior is modeled to occur incidentally similarly to insurance risk. The focus is on multi-state modeling of insurance risk, e.g. in a disability model, and of behavioral risk, e.g. in a premium payment — free policy —...

We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion varies with time, having in mind an investor with age-dependent risk...

This paper develops a continuous-time Markov model for utility optimization for households. The household optimizes expected future utility from consumption by controlling consumption, investments and purchase of life insurance on each person in the household. The optimal controls are...

We present a verification result for a general class of portfolio problems, where the standard dynamic programming principle does not hold. Explicit solutions to a series of cases are provided. They include dynamic mean-standard deviation, endogenous habit formation for quadratic utility, and...

We derive worst-case scenarios in the case where the interest rate and the various transition intensities in a life insurance model are mutually dependent. Examples of this dependence are that surrender intensities and interest rates are high at the same time, that mortality intensities of a...

We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal...

We solve the problem of an investor who maximizes utility but is uncertain about preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time-consistency issues arising from that formulation by applying the equilibrium theory approach. To this end, we...