Application of Generalized Geometric It&#244;-L&#233;vy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

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Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

机译：广义几何IT的应用＆amp;＃244; -L＆amp;＃233; vy进程投资 - 消费保险优化问题下的通货膨胀风险

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We consider a problem of maximizing the utility of an agent who invests in a stock, money market account and an index bond incorporating life insurance, deterministic income, and consumption. The stock is assumed to be a generalized geometric It?-Lévy process. Assuming a power utility function, we determine the optimal investment-consumption-insurance strategy under inflation risk for the investor in a jump-diffusion setting using martingale approach.

机译：我们考虑最大化投资于股票，货币市场账户和征收人寿保险，确定性收入和消费的指数债券的代理人的效用问题。该股票被认为是一个广义的几何it？-lévy过程。假设电力效用功能，我们在使用Martingale方法的跳跃扩散设置中确定投资者的通胀风险下的最佳投资消费保险策略。

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《Journal of Mathematical Finance》 |2021年第2期|共13页
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Utility TheoryPortfolio OptimizationStochastic ControlIt?-Lévy DiffusionsMartingale MethodLife Insurance;

机译：实用工具理论展福利优化股份控制权速度控制术？-Lévy扩散局Martingale方法;

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7. Application of Generalized Geometric It#244;-L#233;vy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk [O] . Obonye Doctor 2021

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Application of Generalized Geometric It&#244;-L&#233;vy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

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Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk