Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
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Publication:659255
DOI10.1016/j.insmatheco.2010.01.005zbMath1231.91411OpenAlexW2047848015MaRDI QIDQ659255
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.005
Lévy processesincomplete marketsmartingale methodsutility maximizationinvestmentconsumption-insurance model
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Cites Work
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- Optimal investment for an insurer in the Lévy market: the martingale approach
- Optimal investment for an insurer: the martingale approach
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal insurance in a continuous-time model
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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