Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
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DOI: 10.1016/j.insmatheco.2021.09.004
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Cited by:
- Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
- Liu, Guo & Jin, Zhuo & Li, Shuanming & Zhang, Jiannan, 2022. "Stochastic asset allocation and reinsurance game under contagious claims," Finance Research Letters, Elsevier, vol. 49(C).
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More about this item
Keywords
Dynamic programming; Mutual-exciting Hawkes process; Stochastic labor income; Portfolio allocation; Life insurance;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G52 - Financial Economics - - Household Finance - - - Insurance
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