IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v31y2007i5p1307-1319.html

Optimal life insurance purchase and consumption/investment under uncertain lifetime

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Marín-Solano, Jesús & Navas, Jorge & Roch, Oriol, 2013. "Non-constant discounting and consumption, portfolio and life insurance rules," Economics Letters, Elsevier, vol. 119(2), pages 186-190.
  3. Jiang Cheng & Lu Yu, 2019. "Life and health insurance consumption in China: demographic and environmental risks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(1), pages 67-101, January.
  4. Wang, Gu & Zou, Bin, 2021. "Optimal fee structure of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 587-601.
  5. Miloš Kopa & Tomáš Rusý, 2021. "A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision," Annals of Operations Research, Springer, vol. 299(1), pages 241-271, April.
  6. Weiguang Liu, 2020. "Individual health perspective, income protection insurance coverage and human capital growth," Economics Bulletin, AccessEcon, vol. 40(1), pages 177-187.
  7. de-Paz, Albert & Marín-Solano, Jesús & Navas, Jorge & Roch, Oriol, 2014. "Consumption, investment and life insurance strategies with heterogeneous discounting," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 66-75.
  8. Alex S. L. Tse, 2018. "Dividend Policy and Capital Structure of a Defaultable Firm," Papers 1810.03501, arXiv.org.
  9. Alderborn, Joakim, 2024. "A life insurance model with asymmetric time preferences," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 17-31.
  10. Aleksandar Arandjelovi'c & Geoffrey Kingston & Pavel V. Shevchenko, 2023. "Life cycle insurance, bequest motives and annuity loads," Papers 2310.06274, arXiv.org.
  11. Ye, Jinchun, 2019. "Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 193-212.
  12. Julie Bjørner Søe, 2025. "Implicit Prioritization of Life Insurance Coverage: A Study of Policyholder Preferences in a Danish Pension Company," Risks, MDPI, vol. 13(6), pages 1-17, May.
  13. Peng, Ling & Kloeden, Peter E., 2021. "Time-consistent portfolio optimization," European Journal of Operational Research, Elsevier, vol. 288(1), pages 183-193.
  14. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
  15. 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.
  16. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
  17. Arandjelović, Aleksandar & Kingston, Geoffrey & Shevchenko, Pavel V., 2023. "Life cycle insurance, bequest motives and annuity loads," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
  18. Liu, Ying & Li, Xiaozhong & Liu, Yinli, 2015. "The bounds of premium and optimality of stop loss insurance under uncertain random environments," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 273-278.
  19. Lim, Byung Hwa & Kwak, Minsuk, 2016. "Bequest motive and incentive to retire: Consumption, investment, retirement, and life insurance strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 19-27.
  20. 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.
  21. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
  22. Christoph Hambel & Holger Kraft & Lorenz S. Schendel & Mogens Steffensen, 2017. "Life Insurance Demand Under Health Shock Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1171-1202, December.
  23. 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).
  24. S. Kostyunin & A. Palestini & E. Shevkoplyas, 2014. "On a Nonrenewable Resource Extraction Game Played by Asymmetric Firms," Journal of Optimization Theory and Applications, Springer, vol. 163(2), pages 660-673, November.
  25. Rodwell Kufakunesu & Calisto Guambe, 2018. "On the optimal investment-consumption and life insurance selection problem with an external stochastic factor," Papers 1808.04608, arXiv.org.
  26. Erhan Bayraktar & Virginia Young, 2013. "Life Insurance Purchasing to Maximize Utility of Household Consumption," North American Actuarial Journal, Taylor & Francis Journals, vol. 17(2), pages 114-135.
  27. Mogens Steffensen & Julie Bjørner Søe, 2025. "What is the value of the annuity market?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(2), pages 827-852, December.
  28. Yao, Haixiang & Zeng, Yan & Chen, Shumin, 2013. "Multi-period mean–variance asset–liability management with uncontrolled cash flow and uncertain time-horizon," Economic Modelling, Elsevier, vol. 30(C), pages 492-500.
  29. Chen, An & Ferrari, Giorgio & Zhu, Shihao, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Center for Mathematical Economics Working Papers 684, Center for Mathematical Economics, Bielefeld University.
  30. Wang, Ning & Siu, Tak Kuen, 2024. "Investment–consumption optimization with transaction cost and learning about return predictability," European Journal of Operational Research, Elsevier, vol. 318(3), pages 877-891.
  31. Alex S. L. Tse, 2020. "Dividend policy and capital structure of a defaultable firm," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 961-994, July.
  32. Lee, Hangsuck & Ryu, Doojin & Son, Jihoon, 2022. "Insurance-adjusted valuation, decision making, and capital return," International Review of Financial Analysis, Elsevier, vol. 84(C).
  33. Lin, Zhenmei & Lai, Chong & Li, Rui, 2025. "Optimal consumption and portfolio selection for retirees under inflation and pension default risk," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  34. Yang Ann Shawing, 2015. "Measuring Self-Service Technology Latent Difficulties: Insurance Decisions on Utilitarian and Hedonic Influences," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(1), pages 1-33, January.
  35. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
  36. Kwak, Minsuk & Shin, Yong Hyun & Choi, U Jin, 2011. "Optimal investment and consumption decision of a family with life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 176-188, March.
  37. 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.
  38. Rodwell Kufakunesu & Calisto Guambe, 2018. "Optimal investment-consumption and life insurance with capital constraints," Papers 1808.04613, arXiv.org.
  39. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Household Lifetime Strategies under a Self-Contagious Market," European Journal of Operational Research, Elsevier, vol. 288(3), pages 935-952.
  40. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
  41. 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.
  42. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
  43. Chu-Shiu Li & Gene C. Lai & Saruultuya Tsendsuren & Richard J. Butler & Chwen-Chi Liu, 2023. "Cognitive abilities and life insurance holdings: evidence from 16 European countries," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 48(1), pages 110-166, March.
  44. 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.
  45. Yang Wang & Jianwei Lin & Dandan Chen & Jizhou Zhang, 2023. "Optimal Investment–Consumption–Insurance Problem of a Family with Stochastic Income under the Exponential O-U Model," Mathematics, MDPI, vol. 11(19), pages 1-19, October.
  46. Kraft, Holger & Schendel, Lorenz S. & Steffensen, Mogens, 2014. "Life insurance demand under health shock risk," SAFE Working Paper Series 40, Leibniz Institute for Financial Research SAFE.
  47. 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.
  48. Pirvu, Traian A. & Zhang, Huayue, 2012. "Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 303-309.
  49. Calisto Guambe & Rodwell Kufakunesu, 2017. "Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach," Papers 1711.01760, arXiv.org.
  50. Huiling Wu, 2016. "Optimal Investment‐Consumption Strategy under Inflation in a Markovian Regime‐Switching Market," Discrete Dynamics in Nature and Society, John Wiley & Sons, vol. 2016(1).
  51. Siqi Tang & Sachi Purcal & Jinhui Zhang, 2018. "Life Insurance and Annuity Demand under Hyperbolic Discounting," Risks, MDPI, vol. 6(2), pages 1-10, April.
  52. Stanley Jere & Elias R. Offen & Othusitse Basmanebothe, 2022. "Optimal Investment, Consumption and Life Insurance Problem with Stochastic Environments," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 14(4), pages 1-33, November.
  53. Guambe, Calisto & Kufakunesu, Rodwell, 2015. "A note on optimal investment–consumption–insurance in a Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 30-36.
  54. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
  55. Schendel, Lorenz S., 2014. "Consumption-investment problems with stochastic mortality risk," SAFE Working Paper Series 43, Leibniz Institute for Financial Research SAFE.
  56. Wenyuan Li & Pengyu Wei, 2024. "Optimal life insurance and annuity decision under money illusion," Papers 2410.20128, arXiv.org.
  57. Hambel, Christoph, 2020. "Health shock risk, critical illness insurance, and housing services," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 111-128.
  58. Grant, Charles, 2010. "Evidence on the insurance effect of bankruptcy exemptions," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2247-2254, September.
  59. Erhan Bayraktar & David Promislow & Virginia Young, 2014. "Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming," Papers 1412.2262, arXiv.org, revised Feb 2016.
  60. Zeng, Yan & Wu, Huiling & Lai, Yongzeng, 2013. "Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon," Economic Modelling, Elsevier, vol. 33(C), pages 462-470.
  61. Zhang, Jinhui & Purcal, Sachi & Wei, Jiaqin, 2021. "Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 80-90.
  62. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
  63. Wang, Hao & Siu, Tak Kuen & Hu, Shujie & Wang, Ning, 2024. "Life-cycle model with subsistence consumption constraint and state-dependent utilities," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  64. Khemka, Gaurav & Steffensen, Mogens & Warren, Geoffrey J., 2024. "A buy-hold-sell pension saving strategy," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 1-16.
  65. I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska, 2011. "Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms," Papers 1102.2263, arXiv.org.
  66. Peng Li & Ming Zhou, 2025. "Optimal Insurance Demand and Investment-consumption Choices for Individuals Confronting Uninsured Risks," Methodology and Computing in Applied Probability, Springer, vol. 27(4), pages 1-23, December.
  67. Ye, Jinchun, 2019. "Random distribution kernels and three types of defaultable contingent payoffs," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 198-204.
  68. Chen, Shumin & Luo, Dan & Yao, Haixiang, 2024. "Optimal investor life cycle decisions with time-inconsistent preferences," Journal of Banking & Finance, Elsevier, vol. 161(C).
  69. Shi, Xiaojun & Wang, Hung-Jen & Xing, Chunbing, 2015. "The role of life insurance in an emerging economy: Human capital protection, assets allocation and social interaction," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 19-33.
  70. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, January-A.
  71. Cai, Jun & Ge, Chenliang, 2012. "Multi-objective private wealth allocation without subportfolios," Economic Modelling, Elsevier, vol. 29(3), pages 900-907.
  72. Ailing Gu & Xinya He & Shumin Chen & Haixiang Yao, 2023. "Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-19, September.
  73. 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).
  74. Li, Wenyuan & Wei, Pengyu, 2025. "Optimal life insurance and annuity decisions under money illusion," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
  75. Ailing Shi & Xingyi Li & Zhongfei Li, 2022. "Optimal Investment, Consumption, and Life Insurance Choices with Habit Formation and Inflation Risk," Complexity, John Wiley & Sons, vol. 2022(1).
  76. Wang, Tao & Chen, Zhiping, 2024. "Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 195-222.
  77. Liang, Zongxia & Zhao, Xiaoyang, 2016. "Optimal mean–variance efficiency of a family with life insurance under inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 164-178.
  78. 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).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.