Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process

Xiaoqing Liang, Yi Lu

Year of publication:	November 2017
Authors:	Liang, Xiaoqing ; Lu, Yi
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 119-132
Subject:	Life insurance \| Shot-noise process \| Indifference pricing \| Partial integro-differential equation \| Hamilton-Jacobi-Bellman equation \| Lebensversicherung \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection

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