Optimal consumption, investment and life insurance with surrender option guarantee
Research output: Contribution to journal › Journal article › Research › peer-review
| Original language | English |
|---|---|
| Journal | Scandinavian Actuarial Journal |
| Volume | 2015 |
| Issue number | 1 |
| Pages (from-to) | 59-87 |
| ISSN | 0346-1238 |
| DOIs | |
| Publication status | Published - 2 Jan 2015 |
- stochastic control, CRRA utility, option-based portfolio insurance, rate guarantee, martingale method, life insurance
Research areas
ID: 161444258