Optimal investment and life insurance strategies in a mixed jump-diffusion framework
DOI10.1080/03610926.2019.1594298OpenAlexW2927020655WikidataQ128123745 ScholiaQ128123745MaRDI QIDQ5077478FDOQ5077478
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
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numerical simulationinvestment strategyCRRA utilitylife insurance strategiesmixed jump-diffusion fractional HJB SDE
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)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Optimal investment and consumption decision of a family with life insurance
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- Mixed fractional Brownian motion
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- On the mixed fractional Brownian motion
- Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Pricing currency options in the mixed fractional Brownian motion
- Optimal investment-consumption-insurance with random parameters
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal investment and life insurance strategies under minimum and maximum constraints
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
- Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option
- Title not available (Why is that?)
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
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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