Optimal life insurance, consumption and portfolio under uncertainty: Martingale methods

Proceedings of the American Control Conference

Volumn , Issue , 2007, Pages 1103-1109

  Ye, Jinchun ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Consumption investment; Convex analysis; Life insurance; Stochastic analysis

Indexed keywords

FINANCE; HEALTH INSURANCE; INSURANCE; STOCHASTIC MODELS;

CONTINUOUS TIME (CT) MODEL; CONVEX ANALYSIS; EXPLICIT SOLUTIONS; HUMAN CAPITAL (HC); LIFE INSURANCE; MARTINGALE METHODS; OPTIMAL SOLUTIONS; STOCHASTIC ANALYSIS;

MODAL ANALYSIS;

EID: 46449109104     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACC.2007.4283150     Document Type: Conference Paper

References (7)

1. Collett, D., Modelling Survival Data in Medical Research, Second Edition, Chapman&Hall, 2003.
2. Harrison, J.M. and Pliska, S.R., 1983, A Stochastic Calculus Model of Continuous Trading: Complete Markets, Stochastic Processes and their Applications, 15, 313-316.
3. Karatzas, I. and Shreve, S.E., Methods of Mathematical Finance, Springer-Verlag, New York, 1998.
4. Merton, R.C., 1969, Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case, Review of Economics and Statistics, 51, 247-257.
5. Merton, R.C., 1971, Optimum Consumption and Portfolio Rules in a continuous-Time Model, Journal of Economic Theory, 3, 372-413.
6. Richard, S.F., 1975. Optimal Consumption, Portfolio and Life Insurance Rules for an Uncertain Lived Individual in a Continuous Time Model, Journal of Financial Economics, 2, 187-203.
7. Ye, J., 2006. Optimal Life Insurance Purchase, Consumption and Portfolio under an Uncertain Life, PhD Thesis, University of Illinois at Chicago, Chicago, USA.