Optimal mean–variance efficiency of a family with life insurance under inflation risk
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DOI: 10.1016/j.insmatheco.2016.09.004
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Cited by:
- Xiaoyi Zhang, 2022. "Optimal DC Pension Management Under Inflation Risk With Jump Diffusion Price Index and Cost of Living Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1253-1270, June.
- Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 508-524.
- Xiaoyi Zhang & Junyi Guo, 2018. "The Role of Inflation-Indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phase," Risks, MDPI, vol. 6(2), pages 1-16, March.
- Esfandi, Elaheh & Mousavi, Mir Hossein & Moshrefi, Rassam & Farhang-Moghaddam, Babak, 2020. "Insurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 445-461, October.
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More about this item
Keywords
IE13; IM12; IE43; IE53; IB12; Mean–variance efficiency; Surplus wealth of the family; Income-replacement insurance; Lagrange dual method; Replication of assets; Dynamic programming; Nonlinear HJB equations;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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