Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
DOI10.1016/J.INSMATHECO.2010.01.005zbMATH Open1231.91411OpenAlexW2047848015MaRDI QIDQ659255FDOQ659255
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
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- scientific article; zbMATH DE number 2051943
investmentutility maximizationincomplete marketsmartingale methodsconsumption-insurance modelLévy processes
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)
Cites Work
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- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal insurance in a continuous-time model
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal investment for an insurer: the martingale approach
- Optimal investment for an insurer in the Lévy market: the martingale approach
Cited In (20)
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
- Optimal investment for an insurer in the Lévy market: the martingale approach
- Demand for non-life insurance under habit formation
- 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 and risk control policies for an insurer: expected utility maximization
- Optimal investment for an insurer under liquid reserves
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
- Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk
- Optimal investment strategies for an insurer with liquid constraint
- Personal non-life insurance decisions and the welfare loss from flat deductibles
- Explicit solutions of optimal consumption, investment and insurance problems with regime switching
- Martingale method for optimal investment and proportional reinsurance
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Optimal investment and risk control for an insurer under inside information
- An optimal consumption problem for general factor models
- Optimal investment and risk control policies for an insurer in an incomplete market
- Editorial to the special issue on behavioral insurance: mathematics and economics
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Optimal investment, consumption-leisure, insurance and retirement choice
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