Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
Wissenschaftlicher Artikel
Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenInstitutions
Institut für VersicherungswissenschaftenPublished 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.2016.10.002Keywords
Hyperbolic discounting; Time-inconsistent optimization problem; Non-local HJB equation; Equilibrium strategies; PDE; stochastic mortality; consumption; portfolio; insuranceDewey Decimal Group
DDC 330 / EconomicsDDC 510 / Mathematics