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Optimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life · Study

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PreprintOptimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life

Jinchun Ye2007

OA

Preprintgreen2007

Optimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life

43 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 43 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1979Martingales and arbitrage in multiperiod securities markets 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer 1981Martingales and stochastic integrals in the theory of continuous trading 1998Methods of Mathematical Finance 1999Stochastic controls : Hamiltonian systems and HJB equations

Cited by

2020Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes 2012Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.946974

openalex_workW1565201568

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