PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK

DOI10.1142/S0219024921500059zbMath1466.91268OpenAlexW3134564224MaRDI QIDQ4990920

Publication date: 1 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500059

zbMATH Keywords

financial risk martingale approach jump-diffusion model insurance risk expected utility maximization power utility portfolio allocation wealth-income ratio extreme-event risk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (1)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks

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