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Article: Multiperiod optimal investment consumption strategies with mortality risk and environment uncertainty

TitleMultiperiod optimal investment consumption strategies with mortality risk and environment uncertainty
Authors
Issue Date2008
PublisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx
Citation
North American Actuarial Journal, 2008, v. 12 n. 1, p. 47-64 How to Cite?
AbstractIn this article we investigate three related investment-consumption problems for a risk-averse investor: (1) an investment-only problem that involves utility from only terminal wealth, (2) an investment-consumption problem that involves utility from only consumption, and (3) an extended investment-consumption problem that involves utility from both consumption and terminal wealth. Although these problems have been studied quite extensively in continuous-time frameworks, we focus on discrete time. Our contributions are (1) to model these investmentconsumption problems using a discrete model that incorporates the environment risk and mortality risk, in addition to the market risk that is typically considered, and (2) to derive explicit expressions of the optimal investment-consumption strategies to these modeled problems. Furthermore, economic implications of our results are presented. It is reassuring that many of our findings are consistent with the well-known results from the continuous-time models, even though our models have the additional features of modeling the environment uncertainty and the uncertain exit time.
Persistent Identifierhttp://hdl.handle.net/10722/172472
ISSN
2015 SCImago Journal Rankings: 1.505
References

 

DC FieldValueLanguage
dc.contributor.authorLi, Zen_US
dc.contributor.authorTan, KSen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:42Z-
dc.date.available2012-10-30T06:22:42Z-
dc.date.issued2008en_US
dc.identifier.citationNorth American Actuarial Journal, 2008, v. 12 n. 1, p. 47-64en_US
dc.identifier.issn1092-0277en_US
dc.identifier.urihttp://hdl.handle.net/10722/172472-
dc.description.abstractIn this article we investigate three related investment-consumption problems for a risk-averse investor: (1) an investment-only problem that involves utility from only terminal wealth, (2) an investment-consumption problem that involves utility from only consumption, and (3) an extended investment-consumption problem that involves utility from both consumption and terminal wealth. Although these problems have been studied quite extensively in continuous-time frameworks, we focus on discrete time. Our contributions are (1) to model these investmentconsumption problems using a discrete model that incorporates the environment risk and mortality risk, in addition to the market risk that is typically considered, and (2) to derive explicit expressions of the optimal investment-consumption strategies to these modeled problems. Furthermore, economic implications of our results are presented. It is reassuring that many of our findings are consistent with the well-known results from the continuous-time models, even though our models have the additional features of modeling the environment uncertainty and the uncertain exit time.en_US
dc.languageengen_US
dc.publisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspxen_US
dc.relation.ispartofNorth American Actuarial Journalen_US
dc.titleMultiperiod optimal investment consumption strategies with mortality risk and environment uncertaintyen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_OA_fulltexten_US
dc.identifier.scopuseid_2-s2.0-77955161315en_US
dc.identifier.hkuros142924-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955161315&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume12en_US
dc.identifier.issue1en_US
dc.identifier.spage47en_US
dc.identifier.epage64en_US
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridLi, Z=17434361900en_US
dc.identifier.scopusauthoridTan, KS=35325520900en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.customcontrol.immutablesml 130730-

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