Journal of Mathematical Finance

Volume 11, Issue 2 (May 2021)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 0.87  Citations  h5-index & Ranking

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

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DOI: 10.4236/jmf.2021.112008    286 Downloads   406 Views  Citations
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ABSTRACT

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.

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Doctor, O. (2021) Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk. Journal of Mathematical Finance, 11, 163-175. doi: 10.4236/jmf.2021.112008.
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