Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
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Cites work
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
- Contagion modeling between the financial and insurance markets with time changed processes
- Dynamic portfolio choice with stochastic wage and life insurance
- Error estimates on ergodic properties of discretized Feynman-Kac semigroups
- Exact simulation of Hawkes process with exponentially decaying intensity
- Household lifetime strategies under a self-contagious market
- scientific article; zbMATH DE number 3782254 (Why is no real title available?)
- Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
- Optimal portfolio allocation with higher moments
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolios when variances and covariances can jump
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimum portfolio diversification in a general continuous-time model
- Option pricing when underlying stock returns are discontinuous
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- Some statistical methods for random process data from seismology and neurophysiology
- Spectra of some self-exciting and mutually exciting point processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Uncertain optimal control of linear quadratic models with jump
Cited in
(9)- Household lifetime strategies under a self-contagious market
- Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
- Robust retirement and life insurance with inflation risk and model ambiguity
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
- Optimal individual health insurance strategy combined investment, consumption, income and public insurance
- Stochastic differential games on investment, consumption and proportional reinsurance under the CEV model
- Contract design under an enhanced dynamic contagious process
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