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Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/104951

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Title: Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
Related: Insurance mathematics and economics, Vol. 46, Issue 3 (2010), p.479-484
DOI: 10.1016/j.insmatheco.2010.01.005
Publisher: Elsevier
Date: 2010
FoR/RFCD Code(s): 010205 Financial Mathematics 140207 Financial Economics 010200 Applied Mathematics
Author/Creator: Perera, Ryle S
Description: Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. The aim of this paper is to apply the martingale approach to obtain a closed form solution for the optimal investment, consumption and insurance strategies of an individual in the presence of an insurable risk when the insurable risk and risky asset returns are described by Lévy processes and the utility is a constant absolute risk aversion (CARA). The model developed in this paper can potentially be applied to absorb large insurable losses in the absence of insurance protection and to examine the level of diminishing current utility and consumption.
Description: 6 page(s)
Subject Keyword: 010205 Financial Mathematics
Subject Keyword: 140207 Financial Economics
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: investment-consumption-insurance model
Subject Keyword: incomplete markets
Subject Keyword: Lévy processes
Subject Keyword: Martingale methods
Subject Keyword: utility maximization
Resource Type: journal article
Organisation: Macquarie University. Dept. of Accounting and Finance

Identifier: http://hdl.handle.net/1959.14/104951
Identifier: ISSN:0167-6687
Identifier: mq-rm-2009010648
Language: eng
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