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Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution

Citations

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Cited by:

  1. Butt, Adam & Khemka, Gaurav, 2015. "The effect of objective formulation on retirement decision making," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 385-395.
  2. Wang, Hao & Hu, Shujie & Siu, Tak Kuen & Wang, Rongming & Wang, Ning, 2024. "Life-cycle planning with CEV model and time-inconsistent preferences," International Review of Economics & Finance, Elsevier, vol. 96(PA).
  3. Tianxiao Wang, 2012. "Risk minimizing of derivatives via dynamic g-expectation and related topics," Papers 1208.2068, arXiv.org.
  4. Thorsten Moenig, 2021. "Efficient valuation of variable annuity portfolios with dynamic programming," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 1023-1055, December.
  5. Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao, 2020. "Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 244-256.
  6. Rui Jiao & Wei Liu & Yijun Hu, 2023. "The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation," Mathematics, MDPI, vol. 11(15), pages 1-18, August.
  7. Chen, An & Hentschel, Felix & Klein, Jakob K., 2015. "A utility- and CPT-based comparison of life insurance contracts with guarantees," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 327-339.
  8. Gaurav Khemka & Adam Butt, 2017. "Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling," Risks, MDPI, vol. 5(4), pages 1-17, October.
  9. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
  10. Yao, Haixiang & Li, Danping & Wu, Huiling, 2022. "Dynamic trading with uncertain exit time and transaction costs in a general Markov market," International Review of Financial Analysis, Elsevier, vol. 84(C).
  11. Li, Xun & Yu, Xiang & Zhang, Qinyi, 2023. "Optimal consumption and life insurance under shortfall aversion and a drawdown constraint," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 25-45.
  12. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
  13. Chen, Chang-Chih & Chang, Chia-Chien & Sun, Edward W. & Yu, Min-Teh, 2022. "Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness," European Journal of Operational Research, Elsevier, vol. 300(2), pages 727-742.
  14. Wenyuan Li & Pengyu Wei, 2024. "Optimal life insurance and annuity decision under money illusion," Papers 2410.20128, arXiv.org.
  15. Chen, Shumin & Luo, Dan & Yao, Haixiang, 2024. "Optimal investor life cycle decisions with time-inconsistent preferences," Journal of Banking & Finance, Elsevier, vol. 161(C).
  16. Li, Wenyuan & Wei, Pengyu, 2025. "Optimal life insurance and annuity decisions under money illusion," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
  17. Alderborn, Joakim, 2024. "A life insurance model with asymmetric time preferences," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 17-31.
  18. Rosario Maggistro & Mario Marino & Antonio Martire, 2025. "A dynamic game approach for optimal consumption, investment and life insurance problem," Annals of Operations Research, Springer, vol. 346(2), pages 1377-1398, March.
  19. Peng, Xingchun & Li, Baihui, 2023. "Optimal investment, consumption and life insurance purchase with learning about return predictability," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 70-95.
  20. Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
  21. Francesco Menoncin & Sergio Vergalli, 2021. "Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme," Journal of Economics, Springer, vol. 132(1), pages 67-98, January.
  22. Wang, Hao & Siu, Tak Kuen & Wang, Ning & Wang, Rongming, 2025. "Utility maximization of household with information learning and health shocks," Finance Research Letters, Elsevier, vol. 86(PA).
  23. Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
  24. Kwak, Minsuk & Lim, Byung Hwa, 2014. "Optimal portfolio selection with life insurance under inflation risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 59-71.
  25. Han, Nan-Wei & Hung, Mao-Wei, 2017. "Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 54-67.
  26. Bin Zou & Abel Cadenillas, 2014. "Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching," Papers 1402.3562, arXiv.org, revised Jun 2014.
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