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Optimal investment, consumption and life insurance under stochastic framework - MaRDI portal

Optimal investment, consumption and life insurance under stochastic framework

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Publication:5063650

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DOI10.1360/012016-28zbMath1499.91121OpenAlexW2559991023MaRDI QIDQ5063650

Zongxia Liang, Xiaoyang Zhao

Publication date: 21 March 2022

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

Full work available at URL: https://doi.org/10.1360/012016-28

zbMATH Keywords

Black-Scholes model life insurance portfolio management Vasicek model HJB equations generalized Heston stochastic volatility model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Actuarial mathematics (91G05)

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