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

Erstveröffentlichung
2016Authors
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.2016.10.002Faculties
Fakultät für Mathematik und WirtschaftswissenschaftenInstitutions
Institut für VersicherungswissenschaftenSubject 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