Optimal insurance in a changing economy

DOI10.3934/mcrf.2014.4.187zbMath1281.93107OpenAlexW1979606964MaRDI QIDQ2438339

Wai-Ki Ching, Tak Kuen Siu, Jingzhen Liu, Ka-Fai Cedric Yiu

Publication date: 11 March 2014

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2014.4.187

zbMATH Keywords

dynamic programmingutility maximizationregime-switchingoptimal insuranceregime-switching Hamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Related Items (1)

Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach

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