Open AccessOPTIMAL CONSUMPTION/INVESTMENT AND LIFE INSURANCE WITH REGIME-SWITCHING FINANCIAL MARKET PARAMETERS
Author(s) -
Sang Il Lee,
Gyoocheol Shim
Publication year - 2015
Publication title -
journal of the korea society for industrial and applied mathematics
Language(s) - English
Resource type - Journals
eISSN - 1229-0645
pISSN - 1226-9433
DOI - 10.12941/jksiam.2015.19.429
Subject(s) - consumption (sociology) , investment (military) , markov chain , constant (computer programming) , financial market , economics , risk aversion (psychology) , life insurance , time horizon , mathematical optimization , econometrics , expected utility hypothesis , computer science , actuarial science , mathematics , mathematical economics , finance , social science , machine learning , sociology , politics , political science , law , programming language