Chen, Xu; Yang, Xiang-qun - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 197-205
In this paper, we consider the consumption and investment problem with random horizon in a Batch Markov Arrival Process (BMAP) model. The investor invests her wealth in a financial market consisting of a risk-free asset and a risky asset. The price processes of the riskless asset and the risky...