Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
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Publication:5866092
DOI10.1080/03610926.2018.1477161OpenAlexW2900215843MaRDI QIDQ5866092
Jiaqin Wei, Hao Wang, Rong-Ming Wang, Shaosheng Xu
Publication date: 10 June 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1477161
martingaleregime-switchingself-exciting threshold modelpower utilityinvestment-consumption-insurance
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