Explicit solutions of optimal consumption, investment and insurance problems with regime switching

DOI10.1016/j.insmatheco.2014.07.006zbMath1304.91142arXiv1402.3562OpenAlexW2016174755MaRDI QIDQ2513631

Abel Cadenillas, Bin Zou

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.3562

zbMATH Keywords

Hamilton-Jacobi-Bellman equationregime switchinginsuranceutility maximizationeconomic analysis

Mathematics Subject Classification ID

Related Items (7)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ Editorial to the special issue on behavioral insurance: mathematics and economics ⋮ Demand for non-life insurance under habit formation ⋮ PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES ⋮ Explicit solutions of optimal consumption, investment and insurance problems with regime switching ⋮ Unnamed Item ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

Cites Work

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• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Lectures on the Mathematics of Finance

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