Optimal investment and life insurance strategies in a mixed jump-diffusion framework

DOI10.1080/03610926.2019.1594298MaRDI QIDQ5077478zbMATH OpenOpenAlexWikidataFDO

Authors Zhaoqiang Yang

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1594298

zbMATH Keywords

numerical simulationinvestment strategyCRRA utilitylife insurance strategiesmixed jump-diffusion fractional HJB SDE

Mathematics Subject Classification ID

Statistics (62-XX) Portfolio theory (91G10) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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Cites work

• scientific article; zbMATH DE number 2187903 (Why is no real title available?)
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• Optimal investment and life insurance strategies under minimum and maximum constraints
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• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
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• Optimal mean-variance efficiency of a family with life insurance under inflation risk
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Pricing currency options in the mixed fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion

Cited in

(4)

• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
• Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
• Optimal life insurance and annuity demand with jump diffusion and regime switching

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