Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market
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- BenjamÃn Vallejo JimÃ©nez & Francisco Venegas MartÃnez, 2017. "Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with," Economics Bulletin, AccessEcon, vol. 37(1), pages 314-326.
More about this item
KeywordsAsset-liability; Markov regime-switching; Linear-quadratic control; Jump-diffusion process; 93E20; 90A09;
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