Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

DOI10.1016/J.INSMATHECO.2010.01.005MaRDI QIDQ659255zbMATH OpenOpenAlexFDO

Authors Ryle S. Perera

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.01.005

zbMATH Keywords

investmentutility maximizationincomplete marketsmartingale methodsconsumption-insurance modelLévy processes

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Recommendations

• A note on optimal investment-consumption-insurance in a Lévy market
• Optimal investment for the insurer in the Lévy market under the mean-variance criterion
• Optimal investment for an insurer in the Lévy market: the martingale approach
• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
• Optimal consumption and investment with insurer default risk
• Optimal life insurance, consumption and investment problem in a Lévy model
• Optimal investment-consumption-insurance with random parameters
• Optimal investment-consumption-insurance with partial information
• Optimal investment, consumption, and life insurance in an incomplete market
• scientific article; zbMATH DE number 2051943

Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal insurance in a continuous-time model
• Optimal investment for an insurer in the Lévy market: the martingale approach
• Optimal investment for an insurer: the martingale approach
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Cited in

(20)

• Personal non-life insurance decisions and the welfare loss from flat deductibles
• Optimal investment strategies for an insurer with liquid constraint
• Optimal investment for an insurer under liquid reserves
• Optimal investment and risk control for an insurer under inside information
• Optimal investment, consumption-leisure, insurance and retirement choice
• Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
• Demand for non-life insurance under habit formation
• Optimal investment for the insurer in the Lévy market under the mean-variance criterion
• Explicit solutions of optimal consumption, investment and insurance problems with regime switching
• An optimal consumption problem for general factor models
• Optimal investment and risk control policies for an insurer: expected utility maximization
• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
• Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
• Optimal investment for an insurer in the Lévy market: the martingale approach
• Optimal investment and risk control policies for an insurer in an incomplete market
• Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk
• Optimal investment and consumption for an insurer with high-watermark performance fee
• Editorial to the special issue on behavioral insurance: mathematics and economics
• A note on optimal investment-consumption-insurance in a Lévy market
• Martingale method for optimal investment and proportional reinsurance

This page was built for publication: Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659255)