Nielsen, Peter Holm; Steffensen, Mogens - In: Insurance: Mathematics and Economics 43 (2008) 1, pp. 15-28
We derive optimal strategies for an individual life insurance policyholder who can control the asset allocation as well as the sum insured (the amount to be paid out upon death) throughout the policy term. We first consider the problem in a pure form without constraints (except nonnegativity on...