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Application of Generalized Geometric Itô-Lévy Process to Investment-Consumption-Insurance Optimization Problem under Inflation Risk

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Document pages: 13 pages

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.

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