TITLE:
Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk
AUTHORS:
Obonye Doctor
KEYWORDS:
Utility Theory, Portfolio Optimization, Stochastic Control, Itô-Lévy Diffusions, Martingale Method, Life Insurance
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.11 No.2,
March
2,
2021
ABSTRACT: We consider a problem of maximizing the utility of an agent who invests in a stock, money market account and an index bond incorporating life insurance, deterministic income, and consumption. The stock is assumed to be a generalized geometric It?-Lévy process. Assuming a power utility function, we determine the optimal investment-consumption-insurance strategy under inflation risk for the investor in a jump-diffusion setting using martingale approach.