A note on optimal investment-consumption-insurance in a Lévy market
From MaRDI portal
Publication:896739
DOI10.1016/j.insmatheco.2015.07.008zbMath1348.91253OpenAlexW1927240457MaRDI QIDQ896739
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
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items
Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting, Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach, Optimal investment-consumption and life insurance with capital constraints, Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market, Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach, Existence of optimal consumption strategies in markets with longevity risk, OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS, Optimal investment-consumption-insurance with partial information
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Mean-variance portfolio selection of cointegrated assets
- Optimal investment and consumption decision of a family with life insurance
- Modelling and management of mortality risk: a review
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Applied stochastic control of jump diffusions
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution