Description: This presentation shows that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics simplifies to an elementary calculus exercise.

Description: This abstract describes a presentation that shows that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics simplifies to an elementary calculus exercise.

Description: Discusses the optimal consumption strategy in the presence of default risk. It highlights the Regime-Switching model, which indicates that the market situation may change and the distribution of an asset's return will change over time.

Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.