Add to ORKGMarket, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk models. The Optimal Portfolio. The Optimal Portfolio: the CRRA utility case. The Optimal Portfolio: a numerical simulation of the CRRA utility case
Personal financial decision making plays an important role in modern finance. Decision problems abou...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
We study hedging of longevity risk in an empirically parameterized life-cycle model of consumption a...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
We study the optimal consumption and portfolio for an agent maximizing the expected utility of his i...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Survival bonds are financial instruments with a payoff that depends on human mortality rates. In mar...
Survival bonds are financial instruments with a payoff that depends on human mortality rates. In mar...
We derive a closed form solution for the optimal consumption/investment problem of an agent whose fo...
The last decades have witnessed unexpected changes in life expectancy, low financial market returns ...
We solve the consumption/investment problem of an agent facing a stochastic mortality intensity. The...
Personal financial decision making plays an important role in modern finance. Decision problems abou...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
We study hedging of longevity risk in an empirically parameterized life-cycle model of consumption a...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
We study the optimal consumption and portfolio for an agent maximizing the expected utility of his i...
Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk mo...
Survival bonds are financial instruments with a payoff that depends on human mortality rates. In mar...
Survival bonds are financial instruments with a payoff that depends on human mortality rates. In mar...
We derive a closed form solution for the optimal consumption/investment problem of an agent whose fo...
The last decades have witnessed unexpected changes in life expectancy, low financial market returns ...
We solve the consumption/investment problem of an agent facing a stochastic mortality intensity. The...
Personal financial decision making plays an important role in modern finance. Decision problems abou...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
We study hedging of longevity risk in an empirically parameterized life-cycle model of consumption a...