Optimal consumption, investment and life insurance with surrender option guarantee
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
Optimal consumption, investment and life insurance with surrender option guarantee. / Kronborg, Morten Tolver; Steffensen, Mogens.
In: Scandinavian Actuarial Journal, Vol. 2015, No. 1, 02.01.2015, p. 59-87.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex
}
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