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Striking the balance : life insurance timing and asset allocation in financial planning

Chen, An; Ferrari, Giorgio; Zhu, Shihao - 2023

This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework, A key aspect of our study involves the agent's option to choose when to acquire life insurance for bequest purposes, We...

Persistent link: https://www.econbiz.de/10014438021

Striking the balance: Life insurance timing and asset allocation in financial planning

Chen, An; Ferrari, Giorgio; Zhu, Shihao - 2023

Persistent link: https://www.econbiz.de/10014476216

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

Government debt control : optimal currency portfolio and payments

Huamán-Aguilar, Ricardo; Cadenillas, Abel - In: Operations research 63 (2015) 5, pp. 1044-1057

Persistent link: https://www.econbiz.de/10011397799

Less is more : increasing retirement gains by using an upside terminal wealth constraint

Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat - In: Insurance / Mathematics & economics 64 (2015), pp. 259-267

Persistent link: https://www.econbiz.de/10011398052

Quadratic minimization with portfolio and terminal wealth constraints

Heunis, Andrew J. - In: Annals of finance 11 (2015) 2, pp. 243-282

Persistent link: https://www.econbiz.de/10011376186

Optimal dividend problem with a terminal value for spectrally positive Lévy processes

Yin, Chuancun; Wen, Yuzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 769-773

Persistent link: https://www.econbiz.de/10010227876

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Optimal investment and proportional reinsurance with risk constraint

Liu, Jingzhen; Yiu, Ka Fai Cedric; Loxton, Ryan C.; … - In: Journal of mathematical finance 3 (2013) 4, pp. 437-447

Persistent link: https://www.econbiz.de/10010240806

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230