An optimal Markovian consumption-investment problem in a market with longevity bonds
Raso, Vanessa (2011) An optimal Markovian consumption-investment problem in a market with longevity bonds. Tesi di Dottorato, LUISS Guido Carli, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Giovanna Nappo, p. 113. [Doctoral Thesis]
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Related URLs:
Abstract/Index
Market, 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.
References
Bibliografia: pp. 112-113.
| Item Type: | Doctoral Thesis (PhD) |
|---|---|
| Research documents and activity classification: | LUISS PhD Thesis |
| Divisions: | Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance |
| Thesis Advisor: | Nappo, Giovanna |
| Additional Information: | Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XXII ciclo), LUISS Guido Carli, Roma, 2011. Relatore: Prof. Giovanna Nappo. |
| Uncontrolled Keywords: | Longevity risk. Rolling bonds. Dynamic programming. |
| MIUR Scientific Area: | Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance Area 01 - Mathematics and Computer Science > MAT/06 Probability and Mathematical Statistics |
| Deposited By: | Chiara Annulli (admin) |
| Deposited On: | 03 Aug 2011 12:34 |
| Last Modified: | 03 Aug 2011 12:49 |
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