Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Liu Guo, Zhuo Jin, Shuanming Li
Topics & Concepts
Jump diffusionAsset (computer security)Bellman equationConsumption (sociology)Mathematical optimizationEconomicsJumpInvestment strategyExpected utility hypothesisInvestment (military)EconometricsComputer scienceMicroeconomicsMathematicsMathematical economicsComputer securityPoliticsLawPolitical sciencePhysicsQuantum mechanicsSocial scienceProfit (economics)SociologyPoint processes and geometric inequalitiesInsurance, Mortality, Demography, Risk ManagementStochastic processes and financial applications