Modelling optimal asset allocation when households experience health shocks
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0589-6
Abstract: Health status is an important factor in household portfolio decision-making. We develop a theoretical framework to model how households make optimal asset allocation decisions in response to health risks. Our two- and three-asset models both… read more here.
Keywords: asset allocation; asset; optimal asset; households experience ... See more keywords
Optimal asset allocation for participating contracts under the VaR and PI constraint
Sign Up to like & getrecommendations! Published in 2019 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2019.1636859
Abstract: ABSTRACT Participating contracts provide a maturity guarantee for the policyholder. However, the terminal payoff to the policyholder should be related to financial risks of participating insurance contracts. We investigate an optimal investment problem under a… read more here.
Keywords: asset allocation; optimal asset; participating contracts; constraint ... See more keywords