Constrained non-concave utility maximization: An application to life insurance contracts with guarantees

An Chen, Peter Hieber, Thai Nguyen. Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3):1119-1135, 2019. [doi]

Authors

An Chen

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Peter Hieber

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Thai Nguyen

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