A note on optimal investment-consumption-insurance in a Lévy market

DOI10.1016/J.INSMATHECO.2015.07.008MaRDI QIDQ896739zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

jump-diffusionBSDEHJBinvestment-consumption-insurance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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
• Optimal life insurance, consumption and investment problem in a Lévy model
• 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

Cites work

• Applied stochastic control of jump diffusions
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Mean-variance portfolio selection of cointegrated assets
• Modeling and management of mortality risk: a review
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal investment and consumption decision of a family with life insurance
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(13)

• 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 portfolio and consumption for a Markovian regime-switching jump-diffusion process
• Existence of optimal consumption strategies in markets with longevity risk
• Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
• Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
• 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
• Optimal investment-consumption and life insurance with capital constraints
• Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
• 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 consumption, investment, and life insurance purchase: a state-dependent utilities approach

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