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Showing 1 to 1 of 1 for “"Merton Investment Problem in Insurance"”.
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Merton Investment Problem for the Hawkes-based Risk Model
We study the Merton investment problem in insurance where the risk process is based on the general compound Hawkes process. That means the arrival of claims modeled with a Hawkes process and the modeled claim sizes follow a finite number of fixed jump sizes governed by a Markov chain evolution. The …