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

Portfolio theory (91G10)

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