Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

DOI10.1080/03610926.2018.1477161MaRDI QIDQ5866092zbMATH OpenOpenAlexFDO

Authors Hao Wang, Rongming Wang, Jiaqin Wei, Shaosheng Xu

Publication date 10 June 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1477161

zbMATH Keywords

investment-consumption-insurancemartingalepower utilityregime-switchingself-exciting threshold model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(6)

• Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Household investment-consumption-insurance policies under the age-dependent risk preferences
• Optimal consumption, investment, and insurance under state-dependent risk aversion
• Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model

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