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Optimal insurance in a changing economy
1. | School of Insurance, Central University Of Finance and Economics, Beijing 100081 |
2. | Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong |
3. | Cass Business School, City University London, London, EC1Y 8TZ, United Kingdom |
4. | Department of Mathematics, University of Hong Kong, Pokfulam Road, Hong Kong, China |
References:
[1] |
N. U. Ahmed and K. L. Teo, Optimal Control of Distributed Parameter Systems,, North Holland, (1981).
|
[2] |
K. J. Arrow, Uncertainty and the welfare economics of medical care,, American Economic Review, 53 (1963), 941. Google Scholar |
[3] |
C. Blanchet-Scalliet, N. E. Karoui, M. Jeanblanc and L. Martellini, Optimal investment and consumption decisions when time-horizon is uncertain,, Journal of Mathematical Economics, 44 (2008), 1100.
doi: 10.1016/j.jmateco.2007.09.004. |
[4] |
B. Bouchard and H. Pham, Wealth-path dependent utility maximization in incomplete markets,, Finance Stochast, 8 (2004), 579.
doi: 10.1007/s00780-004-0125-8. |
[5] |
E. Briys, Insurance and consumption: The continuous-time case,, Journal of Risk and Insurance, 53 (1986), 718.
doi: 10.2307/252972. |
[6] |
J. Buffington and R. J. Elliott, Regime switching and European options,, Stochastic Theory and Control, (2002), 73.
doi: 10.1007/3-540-48022-6_5. |
[7] |
J. Buffington and R. J. Elliott, American options with regime switching,, International Journal of Theoretical and Applied Finance, 5 (2002), 497.
doi: 10.1142/S0219024902001523. |
[8] |
L. Delong, Optimal investment and consumption in the presence of default on a financial market driven by a Levy noise,, Ann. Univ. Mariae Curie-Sk?odowska Sect. A, 60 (2006), 1.
|
[9] |
R. J. Elliott, L. Aggoun and J. B. Moore, Hidden Markov Models: Imation and Control,, Applications of Mathematics (New York), (1995).
|
[10] |
R. J. Elliott, L. L. Chan and T. K. Siu, Option pricing and Esscher transform under regime switching,, Annals of Finance, 1 (2005), 423.
doi: 10.1007/s10436-005-0013-z. |
[11] |
R. J. Elliott and J. Hinz, Portfolio analysis, hidden Markov models and chart analysis by PF-Diagrams,, International Journal of Theoretical and Applied Finance, 5 (2002), 385. Google Scholar |
[12] |
R. J. Elliott, T. K. Siu and L. L. Chan, Pricing volatility swaps under Heston's stochastic volatility model with regime switching,, Applied Mathematical Finance, 14 (2007), 41.
doi: 10.1080/13504860600659222. |
[13] |
H. U. Gerber and E. W. Shiu, Investing for retirement: Optimal capital growth and dynamic asset allocation (with discussions),, North American Actuarial Journal, 4 (2000), 42.
doi: 10.1080/10920277.2000.10595899. |
[14] |
S. M. Goldfeld and R. E. Quandt, The estimation of structural shifts by switching regressions,, Annals of Economic and Social Measurement, 2 (1973), 475. Google Scholar |
[15] |
C. Gollier, Insurance and precautionary capital accumulation in a continuous-time model,, Journal of Risk and Insurance, 61 (1994), 78.
doi: 10.2307/253425. |
[16] |
X. Guo, Information and option pricings,, Quantitative Finance, 1 (2001), 38.
doi: 10.1080/713665550. |
[17] |
J. D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle,, Econometrica, 57 (1989), 357.
doi: 10.2307/1912559. |
[18] |
R. C. Merton, Lifetime portfolio selection under uncertainty: The continuous-time case,, The Review of Economics and Statistics, 51 (1969), 247.
doi: 10.2307/1926560. |
[19] |
R. C. Merton, Optimal consumption and portfolio rules in a continuous-time model,, Journal of Economic Theory, 3 (1971), 373.
doi: 10.1016/0022-0531(71)90038-X. |
[20] |
J. Mossin, Aspects of rational insurance purchasing,, Journal of Political Economy, 76 (1968), 553.
doi: 10.1086/259427. |
[21] |
K. S. Moore and V. R. Young, Optimal insurance in a continuous-time model,, Insurance Mathematics and Economics, 39 (2006), 47.
doi: 10.1016/j.insmatheco.2006.01.009. |
[22] |
R. E. Quandt, The estimation of the parameters of a linear regression system obeying two separate regimes,, Journal of the American Statistical Association, 53 (1958), 873.
doi: 10.1080/01621459.1958.10501484. |
[23] |
H. Schlesinger and C. Gollier, Second-best insurance contract design in an incomplete market,, Scandinavian Journal of Economics, 97 (1995), 123. Google Scholar |
[24] |
K. L. Teo, D. W. Reid and I. E. Boyd, Stochastic optimal control theory and its computational method,, International Journal on Systems Science, 11 (1980), 77.
doi: 10.1080/00207728008966998. |
[25] |
H. Tong, Some comments on the Canadian lynx data (with discussion),, Journal of the Royal Statistical Society, 140 (1977), 432. Google Scholar |
[26] |
K. F. C. Yiu, J. Z. Liu, T. K. Siu and W. C. Ching, Optimal portfolios with regime-switching and value-at-risk constraint,, Automatica, 46 (2010), 1979.
doi: 10.1016/j.automatica.2010.02.027. |
show all references
References:
[1] |
N. U. Ahmed and K. L. Teo, Optimal Control of Distributed Parameter Systems,, North Holland, (1981).
|
[2] |
K. J. Arrow, Uncertainty and the welfare economics of medical care,, American Economic Review, 53 (1963), 941. Google Scholar |
[3] |
C. Blanchet-Scalliet, N. E. Karoui, M. Jeanblanc and L. Martellini, Optimal investment and consumption decisions when time-horizon is uncertain,, Journal of Mathematical Economics, 44 (2008), 1100.
doi: 10.1016/j.jmateco.2007.09.004. |
[4] |
B. Bouchard and H. Pham, Wealth-path dependent utility maximization in incomplete markets,, Finance Stochast, 8 (2004), 579.
doi: 10.1007/s00780-004-0125-8. |
[5] |
E. Briys, Insurance and consumption: The continuous-time case,, Journal of Risk and Insurance, 53 (1986), 718.
doi: 10.2307/252972. |
[6] |
J. Buffington and R. J. Elliott, Regime switching and European options,, Stochastic Theory and Control, (2002), 73.
doi: 10.1007/3-540-48022-6_5. |
[7] |
J. Buffington and R. J. Elliott, American options with regime switching,, International Journal of Theoretical and Applied Finance, 5 (2002), 497.
doi: 10.1142/S0219024902001523. |
[8] |
L. Delong, Optimal investment and consumption in the presence of default on a financial market driven by a Levy noise,, Ann. Univ. Mariae Curie-Sk?odowska Sect. A, 60 (2006), 1.
|
[9] |
R. J. Elliott, L. Aggoun and J. B. Moore, Hidden Markov Models: Imation and Control,, Applications of Mathematics (New York), (1995).
|
[10] |
R. J. Elliott, L. L. Chan and T. K. Siu, Option pricing and Esscher transform under regime switching,, Annals of Finance, 1 (2005), 423.
doi: 10.1007/s10436-005-0013-z. |
[11] |
R. J. Elliott and J. Hinz, Portfolio analysis, hidden Markov models and chart analysis by PF-Diagrams,, International Journal of Theoretical and Applied Finance, 5 (2002), 385. Google Scholar |
[12] |
R. J. Elliott, T. K. Siu and L. L. Chan, Pricing volatility swaps under Heston's stochastic volatility model with regime switching,, Applied Mathematical Finance, 14 (2007), 41.
doi: 10.1080/13504860600659222. |
[13] |
H. U. Gerber and E. W. Shiu, Investing for retirement: Optimal capital growth and dynamic asset allocation (with discussions),, North American Actuarial Journal, 4 (2000), 42.
doi: 10.1080/10920277.2000.10595899. |
[14] |
S. M. Goldfeld and R. E. Quandt, The estimation of structural shifts by switching regressions,, Annals of Economic and Social Measurement, 2 (1973), 475. Google Scholar |
[15] |
C. Gollier, Insurance and precautionary capital accumulation in a continuous-time model,, Journal of Risk and Insurance, 61 (1994), 78.
doi: 10.2307/253425. |
[16] |
X. Guo, Information and option pricings,, Quantitative Finance, 1 (2001), 38.
doi: 10.1080/713665550. |
[17] |
J. D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business cycle,, Econometrica, 57 (1989), 357.
doi: 10.2307/1912559. |
[18] |
R. C. Merton, Lifetime portfolio selection under uncertainty: The continuous-time case,, The Review of Economics and Statistics, 51 (1969), 247.
doi: 10.2307/1926560. |
[19] |
R. C. Merton, Optimal consumption and portfolio rules in a continuous-time model,, Journal of Economic Theory, 3 (1971), 373.
doi: 10.1016/0022-0531(71)90038-X. |
[20] |
J. Mossin, Aspects of rational insurance purchasing,, Journal of Political Economy, 76 (1968), 553.
doi: 10.1086/259427. |
[21] |
K. S. Moore and V. R. Young, Optimal insurance in a continuous-time model,, Insurance Mathematics and Economics, 39 (2006), 47.
doi: 10.1016/j.insmatheco.2006.01.009. |
[22] |
R. E. Quandt, The estimation of the parameters of a linear regression system obeying two separate regimes,, Journal of the American Statistical Association, 53 (1958), 873.
doi: 10.1080/01621459.1958.10501484. |
[23] |
H. Schlesinger and C. Gollier, Second-best insurance contract design in an incomplete market,, Scandinavian Journal of Economics, 97 (1995), 123. Google Scholar |
[24] |
K. L. Teo, D. W. Reid and I. E. Boyd, Stochastic optimal control theory and its computational method,, International Journal on Systems Science, 11 (1980), 77.
doi: 10.1080/00207728008966998. |
[25] |
H. Tong, Some comments on the Canadian lynx data (with discussion),, Journal of the Royal Statistical Society, 140 (1977), 432. Google Scholar |
[26] |
K. F. C. Yiu, J. Z. Liu, T. K. Siu and W. C. Ching, Optimal portfolios with regime-switching and value-at-risk constraint,, Automatica, 46 (2010), 1979.
doi: 10.1016/j.automatica.2010.02.027. |
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