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  • Search: subject:"Stochastic utilities"
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Year of publication
Subject
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Backward stochastic differential equations 1 Balance equation 1 Consumption theory 1 Konsumtheorie 1 Lebensversicherung 1 Life insurance 1 Long term Yield curve 1 Martingale method 1 Nutzen 1 Portfolio selection 1 Portfolio-Management 1 Ramsey Rule 1 Replicating life insurance purchase and portfolio strategies 1 SDEs 1 Stochastic process 1 Stochastic utilities 1 Stochastischer Prozess 1 Subsistence and satiation levels 1 Utility 1 Utility SPDE 1 consistent stochastic utilities 1 forward utilities 1 stochastic flows 1 stochastic utility with consumtion 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Hillairet, Caroline 1 Karoui, Nicole El 1 Mrad, Mohamed 1 Ye, Jinchun 1
Institution
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HAL 1
Published in...
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Insurance / Mathematics & economics 1 Working Papers / HAL 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Stochastic utilities with subsistence and satiation : optimal life insurance purchase, consumption and investment
Ye, Jinchun - In: Insurance / Mathematics & economics 89 (2019), pp. 193-212
Persistent link: https://www.econbiz.de/10012133531
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Cover Image
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Karoui, Nicole El; Hillairet, Caroline; Mrad, Mohamed - HAL - 2014
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization,...
Persistent link: https://www.econbiz.de/10010821470
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