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Optimal life insurance purchase and consumption/investment under mean-reverting returns - MaRDI portal

Optimal life insurance purchase and consumption/investment under mean-reverting returns

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Publication:5018038

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DOI10.1360/N012015-00054zbMath1488.91092MaRDI QIDQ5018038

Xiaoqing Liang, Jun-Yi Guo

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

zbMATH Keywords

life insurance mean-reverting process martingale method

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Actuarial mathematics (91G05)

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