Optimal consumption, investment and life insurance with surrender option guarantee

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Standard

Optimal consumption, investment and life insurance with surrender option guarantee. / Kronborg, Morten Tolver; Steffensen, Mogens.

I: Scandinavian Actuarial Journal, Bind 2015, Nr. 1, 02.01.2015, s. 59-87.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Kronborg, MT & Steffensen, M 2015, 'Optimal consumption, investment and life insurance with surrender option guarantee', Scandinavian Actuarial Journal, bind 2015, nr. 1, s. 59-87. https://doi.org/10.1080/03461238.2013.775964

APA

Kronborg, M. T., & Steffensen, M. (2015). Optimal consumption, investment and life insurance with surrender option guarantee. Scandinavian Actuarial Journal, 2015(1), 59-87. https://doi.org/10.1080/03461238.2013.775964

Vancouver

Kronborg MT, Steffensen M. Optimal consumption, investment and life insurance with surrender option guarantee. Scandinavian Actuarial Journal. 2015 jan. 2;2015(1):59-87. https://doi.org/10.1080/03461238.2013.775964

Author

Kronborg, Morten Tolver ; Steffensen, Mogens. / Optimal consumption, investment and life insurance with surrender option guarantee. I: Scandinavian Actuarial Journal. 2015 ; Bind 2015, Nr. 1. s. 59-87.

Bibtex

@article{3ad85c8529c64176b2df651fb03c6765,
title = "Optimal consumption, investment and life insurance with surrender option guarantee",
keywords = "stochastic control, CRRA utility, option-based portfolio insurance, rate guarantee, martingale method, life insurance",
author = "Kronborg, {Morten Tolver} and Mogens Steffensen",
year = "2015",
month = jan,
day = "2",
doi = "10.1080/03461238.2013.775964",
language = "English",
volume = "2015",
pages = "59--87",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",
number = "1",

}

RIS

TY - JOUR

T1 - Optimal consumption, investment and life insurance with surrender option guarantee

AU - Kronborg, Morten Tolver

AU - Steffensen, Mogens

PY - 2015/1/2

Y1 - 2015/1/2

KW - stochastic control

KW - CRRA utility

KW - option-based portfolio insurance

KW - rate guarantee

KW - martingale method

KW - life insurance

U2 - 10.1080/03461238.2013.775964

DO - 10.1080/03461238.2013.775964

M3 - Journal article

VL - 2015

SP - 59

EP - 87

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

IS - 1

ER -

ID: 161444258