33 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of PretoriaZA3 papers
- University of the WitwatersrandZA2 papers
- AgroParisTechFR1 paper
- Animal, Santé, Territoires, Risques et EcosystèmesFR1 paper
- Brookhaven National LaboratoryUS1 paper
- Centre de Coopération Internationale en Recherche Agronomique pour le DéveloppementFR1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- Centro de Investigação em Sistemas e Tecnologias1 paper
- Critical Software (Portugal)PT1 paper
- Duke Medical CenterUS1 paper
- Fund for Scientific ResearchBE1 paper
- Grupo Martifer (Portugal)PT1 paper
3 papers · 1 filter
Optimal investment-consumption and life insurance with capital constraints
Rodwell Kufakunesu, Calisto Guambe
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete mark…
On the optimal investment-consumption and life insurance selection problem with an external stochastic factor
Rodwell Kufakunesu, Calisto Guambe
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we a…
Risk-based optimal portfolio of an insurer with regime switching and noisy memory
Rodwell Kufakunesu, Calisto Guambe, Lesedi Mabitsela
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling,…