For a jump-diffusion market with a longevity asset, time-consistent mean-variance equilibria must solve an extended HJB system, and in the no-liability case the optimal strategies are closed-form and numerically robust to jump misspecification.
J., Blake, D., and Dowd, K
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PM 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
For a jump-diffusion market with a longevity asset, time-consistent mean-variance equilibria must solve an extended HJB system, and in the no-liability case the optimal strategies are closed-form and numerically robust to jump misspecification.