Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market

DOI10.1016/j.insmatheco.2021.09.004zbMath1475.91310OpenAlexW3200256812MaRDI QIDQ2665873

Guo Liu, Zhuo Jin, Shuanming Li

Publication date: 19 November 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.09.004

zbMATH Keywords

dynamic programminglife insuranceportfolio allocationstochastic labor incomemutual-exciting Hawkes process

Mathematics Subject Classification ID

Dynamic programming (90C39) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (1)

Robust retirement and life insurance with inflation risk and model ambiguity

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