Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076817 | Insurance: Mathematics and Economics | 2012 | 16 Pages |
Abstract
⺠We solve investment and consumption problems when there is event risk. ⺠Unlike traditional regime switching, prices jump at the instant of transition. ⺠Optimal solutions significantly differ from those of traditional regime switching. ⺠The cost of ignoring transition price shocks can be substantial.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Andrew E.B. Lim, Thaisiri Watewai,