Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
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Publication:1740034
DOI10.1016/j.amc.2017.04.034zbMath1427.91256OpenAlexW2622190498MaRDI QIDQ1740034
Publication date: 29 April 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.04.034
Hamilton-Jacobi-Bellman equationasset-liability managementvalue-at-riskregime-switching modelinvestment-consumption
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
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