Optimal investment and life insurance strategies in a mixed jump-diffusion framework
DOI10.1080/03610926.2019.1594298OpenAlexW2927020655WikidataQ128123745 ScholiaQ128123745MaRDI QIDQ5077478
Publication date: 18 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1594298
numerical simulationinvestment strategyCRRA utilitylife insurance strategiesmixed jump-diffusion fractional HJB SDE
Statistics (62-XX) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Portfolio theory (91G10) Financial and insurance mathematics (aspects of mathematics education) (97M30)
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