메뉴 건너뛰기




Volumn 48, Issue 2, 2011, Pages 176-188

Optimal investment and consumption decision of a family with life insurance

Author keywords

Labor income; Life insurance; Martingale method; Optimal investment consumption; Utility maximization

Indexed keywords


EID: 78649559159     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2010.10.012     Document Type: Article
Times cited : (49)

References (27)
  • 2
    • 84977337876 scopus 로고
    • The demand for life insurance: an application of the economics of uncertainty
    • Campbell R.A. The demand for life insurance: an application of the economics of uncertainty. Journal of Finance 1980, 35:1155-1172.
    • (1980) Journal of Finance , vol.35 , pp. 1155-1172
    • Campbell, R.A.1
  • 3
    • 23744461376 scopus 로고    scopus 로고
    • A preference change and discretionary stopping in a consumption and portfolio selection problem
    • Choi K.J., Koo H.K. A preference change and discretionary stopping in a consumption and portfolio selection problem. Mathematical Methods of Operations Research 2005, 61:419-435.
    • (2005) Mathematical Methods of Operations Research , vol.61 , pp. 419-435
    • Choi, K.J.1    Koo, H.K.2
  • 4
    • 0002720622 scopus 로고
    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • Cox J.C., Huang C.F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 1989, 49:33-83.
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.C.1    Huang, C.F.2
  • 5
    • 0001274228 scopus 로고
    • A life cycle model of life insurance purchases
    • Fischer S. A life cycle model of life insurance purchases. International Economic Review 1973, 14:132-152.
    • (1973) International Economic Review , vol.14 , pp. 132-152
    • Fischer, S.1
  • 6
    • 84944836300 scopus 로고
    • A theory of optimal life insurance: development and test
    • Fortune P. A theory of optimal life insurance: development and test. Journal of Finance 1973, 28:587-600.
    • (1973) Journal of Finance , vol.28 , pp. 587-600
    • Fortune, P.1
  • 7
    • 0012847349 scopus 로고
    • Optimal investment and consumption strategies under risk, an uncertain lifetime, and insurance
    • Hakansson N.H. Optimal investment and consumption strategies under risk, an uncertain lifetime, and insurance. International Economic Review 1969, 10:443-466.
    • (1969) International Economic Review , vol.10 , pp. 443-466
    • Hakansson, N.H.1
  • 8
    • 0040566745 scopus 로고    scopus 로고
    • Liquidity, estate liquidation, charitable motives, and life insurance demand by retired singles
    • Hau A. Liquidity, estate liquidation, charitable motives, and life insurance demand by retired singles. Journal of Risk and Insurance 2000, 67:123-141.
    • (2000) Journal of Risk and Insurance , vol.67 , pp. 123-141
    • Hau, A.1
  • 9
    • 52949103674 scopus 로고    scopus 로고
    • Portfolio choice and mortality-contingent claims: the general HARA case
    • Huang H., Milevsky M.A. Portfolio choice and mortality-contingent claims: the general HARA case. Journal of Banking and Finance 2008, 32:2444-2452.
    • (2008) Journal of Banking and Finance , vol.32 , pp. 2444-2452
    • Huang, H.1    Milevsky, M.A.2
  • 11
    • 0001576333 scopus 로고
    • Mortality risks and bequests
    • Hurd M. Mortality risks and bequests. Econometrica 1989, 57:779-813.
    • (1989) Econometrica , vol.57 , pp. 779-813
    • Hurd, M.1
  • 13
    • 0023455980 scopus 로고
    • Optimal portfolio and consumption decisions for a "small investor" on a finite horizon
    • Karatzas I., Lehoczky J.P., Shreve S.E. Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM Journal on Control and Optimization 1987, 25:1557-1586.
    • (1987) SIAM Journal on Control and Optimization , vol.25 , pp. 1557-1586
    • Karatzas, I.1    Lehoczky, J.P.2    Shreve, S.E.3
  • 16
    • 0000271050 scopus 로고
    • Dependents and the demand for life insurance
    • Lewis F.S. Dependents and the demand for life insurance. American Economic Review 1989, 79:452-467.
    • (1989) American Economic Review , vol.79 , pp. 452-467
    • Lewis, F.S.1
  • 17
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: the continuous-time case
    • Merton R.C. Lifetime portfolio selection under uncertainty: the continuous-time case. Review of Economics and Statistics 1969, 51:247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 18
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton R.C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 1971, 3:373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.C.1
  • 20
    • 47249085212 scopus 로고    scopus 로고
    • Optimal investment and life insurance strategies under minimum and maximum constraints
    • Nielsen P.H., Steffensen M. Optimal investment and life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics 2008, 43:15-28.
    • (2008) Insurance: Mathematics and Economics , vol.43 , pp. 15-28
    • Nielsen, P.H.1    Steffensen, M.2
  • 21
    • 0003103429 scopus 로고
    • A stochastic calculus model of continuous trading: optimal portfolios
    • Pliska S.R. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 1986, 11:371-382.
    • (1986) Mathematics of Operations Research , vol.11 , pp. 371-382
    • Pliska, S.R.1
  • 22
    • 34147114294 scopus 로고    scopus 로고
    • Optimal life insurance purchase and consumption/investment under uncertain lifetime
    • Pliska S.R., Ye J. Optimal life insurance purchase and consumption/investment under uncertain lifetime. Journal of Banking and Finance 2007, 31:1307-1319.
    • (2007) Journal of Banking and Finance , vol.31 , pp. 1307-1319
    • Pliska, S.R.1    Ye, J.2
  • 23
    • 2442438905 scopus 로고
    • Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model
    • Richard S. Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model. Journal of Financial Economics 1975, 2:187-203.
    • (1975) Journal of Financial Economics , vol.2 , pp. 187-203
    • Richard, S.1
  • 24
    • 33644799207 scopus 로고    scopus 로고
    • Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem
    • Stabile G. Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem. International Journal of Theoretical and Applied Finance 2006, 9:151-170.
    • (2006) International Journal of Theoretical and Applied Finance , vol.9 , pp. 151-170
    • Stabile, G.1
  • 25
    • 10444239779 scopus 로고
    • Uncertain lifetime, life insurance and the theory of the consumer
    • Yaari M.E. Uncertain lifetime, life insurance and the theory of the consumer. Review of Economic Studies 1965, 32:137-150.
    • (1965) Review of Economic Studies , vol.32 , pp. 137-150
    • Yaari, M.E.1
  • 26
    • 78951489935 scopus 로고    scopus 로고
    • Optimal life insurance purchase, consumption, and portfolio under an uncertain life. Ph.D. Dissertation. University of Illinois at Chicago, Chicago
    • Ye, J., 2006. Optimal life insurance purchase, consumption, and portfolio under an uncertain life. Ph.D. Dissertation. University of Illinois at Chicago, Chicago.
    • (2006)
    • Ye, J.1
  • 27
    • 46449109104 scopus 로고    scopus 로고
    • Optimal life insurance purchase, consumption and portfolio under uncertainty: martingale methods. In: Proceedings of 2007 American Control Conference
    • Ye, J., 2007. Optimal life insurance purchase, consumption and portfolio under uncertainty: martingale methods. In: Proceedings of 2007 American Control Conference. pp. 1103-1109.
    • (2007) , pp. 1103-1109
    • Ye, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.