Optimal investment, consumption and life insurance in a Lévy market
The purpose of this dissertation is to solve an optimal investment, consumption and life insurance problem described by jump-diffusion processes in two settings. First, we consider a problem with random parameters of a wage earner who wants to save to his beneficiary for his death. Using one risk-f...
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| Language: | en |
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2015
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| Online Access: | http://hdl.handle.net/2263/50312 Guambe, C 2016, Optimal investment, consumption and life insurance in a Lévy market, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/50312> |