Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
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Publication:2665873
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
dynamic programminglife insuranceportfolio allocationstochastic labor incomemutual-exciting Hawkes process
Dynamic programming (90C39) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)
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Cites Work
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