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

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

zbMATH Keywords

jump-diffusionBSDEHJBinvestment-consumption-insurance

Mathematics Subject Classification ID

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