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Optimal investment and life insurance strategies in a mixed jump-diffusion framework

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  • Zhaoqiang Yang (Yeung Chiu Keung)

Abstract

This article investigates an optimal investment and life insurance strategies in a mixed jump-diffusion framework. The individual life insurance policyholder who has CRRA preferences. The market consists of riskless asset, a zero-coupon bond, a stock and life insurance. The instantaneous interest rate is modeled as the O-U model, while a zero-coupon bond with credit risk follows a BSDE and a risky asset be driven by MJD-fBm model. The problem is solved by the mixed jump diffusion fractional HJB SDE which satisfied the admissible strategy, then the closed form solution and optimal strategies are derived and the simulation of the various parameters are also given.

Suggested Citation

  • Zhaoqiang Yang (Yeung Chiu Keung), 2020. "Optimal investment and life insurance strategies in a mixed jump-diffusion framework," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(16), pages 4002-4029, August.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:16:p:4002-4029
    DOI: 10.1080/03610926.2019.1594298
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