Optimal consumption and investment with insurer default risk
(2019)
Journal Article
Jang, B., Keun, H., & Park, S. (2019). Optimal consumption and investment with insurer default risk. Insurance: Mathematics and Economics, 88, 44-56. https://doi.org/10.1016/j.insmatheco.2019.04.007
We solve the optimal consumption and investment problem in an incomplete market, where borrowing constraints and insurer default risk are considered jointly. We derive in closed-form the optimal consumption and investment strategies. We find two main... Read More about Optimal consumption and investment with insurer default risk.