Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting

Erstveröffentlichung

2016

Authors

Delong, Lukasz

Chen, An

Wissenschaftlicher Artikel

Published in

Insurance: Mathematics and Economics ; 71 (2016). - S. 342-352. - ISSN 0167-6687. - eISSN 1873-5959

Link to publication

https://dx.doi.org/10.1016/j.insmatheco.2016.10.002

Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

Institut für Versicherungswissenschaften

Subject headings

[Free subject headings]: Hyperbolic discounting | Time-inconsistent optimization problem | Non-local HJB equation | Equilibrium strategies | PDE | stochastic mortality | consumption | portfolio | insurance
[DDC subject group]: DDC 330 / Economics | DDC 510 / Mathematics

Metadata

Show full item record