Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
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References listed on IDEAS
- Wang, Zengwu & Xia, Jianming & Zhang, Lihong, 2007. "Optimal investment for an insurer: The martingale approach," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 322-334, March.
- Moore, Kristen S. & Young, Virginia R., 2006. "Optimal insurance in a continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 47-68, August.
- Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
- Zhou, Qing, 2009. "Optimal investment for an insurer in the Lévy market: The martingale approach," Statistics & Probability Letters, Elsevier, vol. 79(14), pages 1602-1607, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zou, Bin & Cadenillas, Abel, 2014. "Explicit solutions of optimal consumption, investment and insurance problems with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 159-167.
- Zou, Bin & Cadenillas, Abel, 2014. "Optimal investment and risk control policies for an insurer: Expected utility maximization," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 57-67.
- Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
- Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.
- repec:eee:stapro:v:126:y:2017:i:c:p:139-149 is not listed on IDEAS
- Bin Zou & Abel Cadenillas, 2014. "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers 1402.3560, arXiv.org, revised Mar 2014.
- Bin Zou & Abel Cadenillas, 2014. "Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching," Papers 1402.3562, arXiv.org, revised Jun 2014.
More about this item
KeywordsInvestment-consumption-insurance model Incomplete markets Levy processes Martingale methods Utility maximization;
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