Concepedia

Existence of optimal consumption strategies in markets with longevity risk

J. de Kort, Michel Vellekoop

Insurance Mathematics and Economics · 2016 · 11 citations · 34 references

DOI

Concepts

References

34

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

, , +16

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

, , +17

Principles of mathematical analysis

Carl Hammer · Journal of the Franklin Institute · 1953 · 4.1K citations

, , +7

Uncertain Lifetime, Life Insurance, and the Theory of the Consumer

Menahem E. Yaari · The Review of Economic Studies · 1965 · 3.3K citations

, , +17

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

, , +17