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Optimal investment for investors with state dependent income, and for insurers
Home
Publications
Optimal investment for investors with state dependent income, and for insurers
Optimal investment for investors with state dependent income, and for insurers
Christian Hipp
Christian Hipp
MP
Michael Plum
Michael Plum
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1 July 2003
journal article
Published by
Springer Science and Business Media LLC
in
Finance and Stochastics
Vol. 7
(3)
,
299-321
https://doi.org/10.1007/s007800200095
Abstract
No abstract available
Keywords
MARKOV MOD- ULATED RISK PROCESS
BELLMAN EQUATION
LUNDBERG RISK PROCESS
OPTIMAL INVESTMENT
STOCHASTIC MODEL
OPTIMIZATION PROBLEM
MARKOV PROCESS
OBJECTIVE FUNCTION
STATE SPACE
EXPECTED UTILITY
COX PROCESS
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