A note on optimal investment-consumption-insurance in a Lévy market
| dc.contributor.author | Guambe, Calisto | |
| dc.contributor.author | Kufakunesu, Rodwell | |
| dc.contributor.email | rodwell.kufakunesu@up.ac.za | en_ZA |
| dc.date.accessioned | 2015-10-15T06:25:17Z | |
| dc.date.issued | 2015-11 | |
| dc.description.abstract | In Shen and Wei (2014) an optimal investment, consumption and life insurance purchase problem for a wage earner with Brownian information has been investigated. This paper discusses the same problem but extend their results to a geometric Itô–Lévy jump process. Our modelling framework is very general as it allows random parameters which are unbounded and involves some jumps. It also covers parameters which are both Markovian and non-Markovian functionals. Unlike in Shen and Wei (2014) who considered a diffusion framework, ours solves the problem using a novel approach, which combines the Hamilton–Jacobi–Bellman (HJB) and a backward stochastic differential equation (BSDE) in a Lévy market setup. We illustrate our results by two examples. | en_ZA |
| dc.description.embargo | 2016-11-30 | |
| dc.description.librarian | hb2015 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ime | en_ZA |
| dc.identifier.citation | Guambe, C & Kufakunesu, R 2015, 'A note on optimal investment-consumption-insurance in a Lévy market', Insurance : Mathematics and Economics , vol. 65, pp. 30-36. | en_ZA |
| dc.identifier.issn | 0167-6687 (print) | |
| dc.identifier.issn | 1873-5959 (online) | |
| dc.identifier.other | 10.1016/j.insmatheco.2015.07.008 | |
| dc.identifier.uri | http://hdl.handle.net/2263/50220 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Insurance : Mathematics and Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Insurance : Mathematics and Economics, vol. 65, pp. 30-36, 2015. doi : 10.1016/j.insmatheco.2015.07.008. | en_ZA |
| dc.subject | Investment–consumption–insurance | en_ZA |
| dc.subject | Jump–diffusion | en_ZA |
| dc.subject | Hamilton–Jacobi–Bellman (HJB) | en_ZA |
| dc.subject | Backward stochastic differential equation (BSDE) | en_ZA |
| dc.title | A note on optimal investment-consumption-insurance in a Lévy market | en_ZA |
| dc.type | Postprint Article | en_ZA |