Optimal consumption, investment and life insurance with surrender option guarantee

Morten Tolver Kronborg, Mogens Steffensen

Research output: Contribution to journalJournal articleResearchpeer-review

20 Citations (Scopus)
Original languageEnglish
JournalScandinavian Actuarial Journal
Volume2015
Issue number1
Pages (from-to)59-87
ISSN0346-1238
DOIs
Publication statusPublished - 2 Jan 2015

Keywords

  • stochastic control
  • CRRA utility
  • option-based portfolio insurance
  • rate guarantee
  • martingale method
  • life insurance

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