A note on optimal investment-consumption-insurance in a Lévy market
DOI10.1016/J.INSMATHECO.2015.07.008zbMATH Open1348.91253OpenAlexW1927240457MaRDI QIDQ896739FDOQ896739
Authors: Calisto Guambe, Rodwell Kufakunesu 
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.008
Recommendations
- Optimal consumption, investment and insurance with insurable risk for an investor 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
- scientific article; zbMATH DE number 7572534
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
- Optimal investment-consumption-insurance with random parameters
- Optimal investment, consumption, and life insurance in an incomplete market
- Optimal investment and consumption in the presence of default on a financial market by a Lévy noise
- Optimal investment-consumption-insurance with partial information
- Optimal consumption and investment with insurer default risk
Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Applied stochastic control of jump diffusions
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Mean-variance portfolio selection of cointegrated assets
- Optimal investment and consumption decision of a family with life insurance
- Modeling and management of mortality risk: a review
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Cited In (13)
- Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
- Optimal investment-consumption-insurance with partial information
- Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
- Optimal investment-consumption and life insurance with capital constraints
- Existence of optimal consumption strategies in markets with longevity risk
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Optimal investment-consumption-insurance with random parameters
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
- Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
- Optimal investment and consumption in the presence of default on a financial market by a Lévy noise
This page was built for publication: A note on optimal investment-consumption-insurance in a Lévy market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896739)
