A note on optimal investment-consumption-insurance in a Lévy market
type: Item
instance of: scholarly article
title: A note on optimal investment-consumption-insurance in a Lévy market
zbMATH Open document ID: 1348.91253
author: Calisto Guambe
author: Rodwell Kufakunesu
published in: Insurance Mathematics \& Economics
publication date: 2015-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6520849
zbMATH Keywords: investment-consumption-insurance
zbMATH Keywords: jump-diffusion
zbMATH Keywords: HJB
zbMATH Keywords: BSDE
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.07.008
OpenAlex ID: W1927240457
cites work: Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
cites work: Modelling and management of mortality risk: a review
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cites work: Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Optimal investment and consumption decision of a family with life insurance
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Applied stochastic control of jump diffusions
DOI: 10.1016/J.INSMATHECO.2015.07.008
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description: scientific article; zbMATH DE number 6520849