[1]
|
M. O. Albizzati and H. Geman, “Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies,” Journal of Risk and Insurance, Vol. 61, No. 4, 1994, pp. 616-637. doi:10.2307/253641
|
[2]
|
S. A. Persson and K. K. Aase, “Valuation of the Minimum Guaranteed Return Embedded in a Life Insurance Products,” Journal of Risk and Insurance, Vol. 64, No. 4, 1997, pp. 599-617. doi:10.2307/253888
|
[3]
|
M. J. Brennan and E. S. Schwartz, “The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Financial Economics, Vol. 3, No. 3, 1976, pp. 195-213. doi:10.1016/0304-405X(76)90003-9
|
[4]
|
J. A. Nielsen and K. Sandman, “Equity-Linked Life Insurance: A Model with Stochastic Interest Rates,” Insurance: Mathematics and Economics, Vol. 16, No. 3, 1995, pp. 225-253. doi:10.1016/0167-6687(95)00007-F
|
[5]
|
E. Marceau and P. Gaillardetz, “On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment,” Insurance: Mathematics and Economics, Vol. 25, 1999, pp. 261-280.
doi:10.1016/S0167-6687(99)00019-0
|
[6]
|
A. R. Bacinello, “Equity Linked Life Insurance,” In: E. Melnick and B. Everitt, Eds., Encyclopedia of Quantitative Risk Analysis and Assessment, John Wiley & Sons, Hoboken, 2008. doi:10.1002/9780470061596.risk0346
|
[7]
|
H. Iwaki, M. Kijima and Y. Morimoto, “An Economic Premium Principle in a Multiperiod Economy,” Insurance: Mathematics and Insurance, Vol. 28, No. 3, 2001, pp. 325-339. doi:10.1016/S0167-6687(00)00081-0
|
[8]
|
H. Iwaki, “An Economic Premium Principle in a Continuous-Time Economy,” Journal of the Operations Research Society of Japan, Vol. 45, 2002, pp. 346-361.
|
[9]
|
R. C. Merton, “Life Time Portfolio Selection under Uncertainty,” Review of Economics and Statistics, Vol. 51, No. 3, 1969, pp. 247-257. doi:10.2307/1926560
|
[10]
|
R. C. Merton, “Optimum Consumption and Portfolio Rules in a Continuous-time Model,” Journal of Economic Theory, Vol. 3, No. 4, 1971, pp. 373-413.
doi:10.1016/0022-0531(71)90038-X
|
[11]
|
S. F. Richard, “Optimal Consumption, Portfolio and Life Insurance Rules for an Uncertain Lived Individual in a Continuous Time Model,” Journal of Financial Economics, Vol. 2, No. 2, 1975, pp. 187-203.
doi:10.1016/0304-405X(75)90004-5
|
[12]
|
R. A. Campbell, “The Demand for Life Insurance: An Application of the Economics of Uncertainty,” Journal of Finance, Vol. 35, No. 5, 1980, pp. 1155-1172.
doi:10.1111/j.1540-6261.1980.tb02201.x
|
[13]
|
D. F. Babbel and E. Ohtsuka, “Aspects of Optimal Multi-period Life Insurance,” Journal of Risk and Insurance, Vol. 56, No. 3, 1989, pp. 460-481.
doi:10.2307/253168
|
[14]
|
Y. Zhu, “One-period Model of Individual Consumption, Life Insurance, and Investment Decisions,” Journal of Risk and Insurance, Vol. 74, No. 3, 2007, pp. 613-636.
doi:10.1111/j.1539-6975.2007.00227.x
|
[15]
|
Z. Bodie, R. C. Merton and W. Samuelson, “Labor Supply Flexibility and Portfolio Choice in a Life Cycle Model,” Journal of Economic Dynamics and Control, Vol. 16, No. 3-4, 1992, pp. 427-449.
doi:10.1016/0165-1889(92)90044-F
|
[16]
|
H. He and H. F. Pagès, “Labor Income, Borrowing Constraints and Equilibrium Asset Prices; A Duality Approach,” Economic Theory, Vol. 3, No. 4, 1993, pp. 663-696. doi:10.1007/BF01210265
|
[17]
|
L. E. O. Svensson and I. M. Werner, “Nontradable Assets in Incomplete Markets: Pricing and Portfolio Choice,” European Economic Review, Vol. 37, No. 5, 1993, pp. 1149-1168. doi:10.1016/0014-2921(93)90113-O
|
[18]
|
I. Karatzas and S. E. Shreve, “Methods of Mathematical Finance,” Springer-Verlag, New York, 1998.
|
[19]
|
J. Cvitanic, W. Schachermayer and H. Wang, “Utility Maximization in Incomplete Markets with Random Endowment,” Finance and Stochastics, Vol. 5, No. 2, 2001, pp. 259-272. doi:10.1007/PL00013534
|
[20]
|
J. Grandell, “Double Stochastic Poisson Processes,” Springer-Verlag, New York, 1976.
|
[21]
|
A. Yashin and E. Arjas, “A Note on Random Intensities and Conditional Survival Functions,” Journal of Applied Probability, Vol. 25, No. 3, 1988, pp. 630-635.
doi:10.2307/3213991
|
[22]
|
D. Kramkov and W. Schachermayer, “The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets,” Annals of Applied Probability, Vol. 9, No. 3, 1999, pp. 904-950. doi:10.1214/aoap/1029962818
|
[23]
|
N. Bellamy and M. Jeanblanc, “Incompleteness of Markets Driven by a Mixed Diffusion,” Finance and Stochastics, Vol. 4, No. 2, 2000, pp. 209-222.
doi:10.1007/s007800050012
|
[24]
|
S. Wang, V. R. Young and H. Panjier, “Axiomatic Characterization of Insurance Prices,” Insurence: Mathematics and Economics, Vol. 21, No. 2, 1997, pp.173-183.
doi:10.1016/S0167-6687(97)00031-0
|
[25]
|
V. R. Young and T. Zariphopoulou, “Computation of Distorted Probabilities for Diffusion Processes via Stochastic Control Methods,” Insurance: Mathematics and Economics, Vol. 27, No. 1, 2000, pp. 1-18.
doi:10.1016/S0167-6687(99)00061-X
|
[26]
|
D. Cuoco, “Optimal Consumption and Equilibrium Prices wiht Portfolio Constraints and Stochastic Income,” Journal of Economic Theory, Vol. 72, No. 1, 1997, pp. 33-73.
doi:10.1006/jeth.1996.2207
|
[27]
|
J. Cvitanic and I. Karatzas, “Convex Duality in Constrained Portfolio Optimization,” Annals of Applied Probability, Vol. 2, No. 4, 1992, pp. 767-818.
doi:10.1214/aoap/1177005576
|
[28]
|
R. T. Rockafellar, “Convex Analysis,” Princeton University Press, New Jersey, 1970.
|