Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
نویسندگان
چکیده
منابع مشابه
Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach
Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are modelled in a continuous-time multi-state Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying;...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2008
ISSN: 0515-0361,1783-1350
DOI: 10.1017/s0515036100015154