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- 2Financial Crisis
- 1Asset Shortage
- 1Economic Analysis
- 1Hamilton-Jacobi-Bellman equations
The twenty-year period from 1990 to 2010 exhibited significant and consequential international economic phenomena. Global imbalances, primarily the U.S. current account deficit, were very prominent, along with the development and bursting of a real estate bubble, low interest rates and saving...
Motivated by the financial crisis of 2007-2009 and the increasing demand for portfolio and risk management, we study optimal insurance and investment problems with regime switching in this thesis. We incorporate an insurable risk into the classical consumption and investment framework and...