Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
type: Item
instance of: scholarly article
title: Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
zbMATH Open document ID: 1231.91411
author: Ryle S. Perera
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G46
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6004714
zbMATH Keywords: investment
zbMATH Keywords: consumption-insurance model
zbMATH Keywords: incomplete markets
zbMATH Keywords: Lévy processes
zbMATH Keywords: martingale methods
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2010.01.005
OpenAlex ID: W2047848015
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: Q4856610
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: Q4002114
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Optimal insurance in a continuous-time model
cites work: Q3997782
cites work: Optimal investment for an insurer: the martingale approach
cites work: Optimal investment for an insurer in the Lévy market: the martingale approach
DOI: 10.1016/J.INSMATHECO.2010.01.005
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description: scientific article; zbMATH DE number 6004714