Merton Investment Problems in Finance and Insurance for the Hawkes-based Models

Anatoliy Swishchuk

Papers from arXiv.org

Abstract: We show how to solve Merton optimal investment stochastic control problem for Hawkes-based models in finance and insurance, i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t) of an insurance company with the amount of claims described by the risk model based on GCHP. The novelty of the results consists of the new Hawkes-based models and in the new optimal investment results in finance and insurance for those models.

Date: 2021-04, Revised 2021-05
New Economics Papers: this item is included in nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://arxiv.org/pdf/2104.02694 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2104.02694

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).