Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
From MaRDI portal
Publication:2926486
DOI10.1080/02331934.2012.665054zbMATH Open1297.93184arXiv1102.2263OpenAlexW1964296435MaRDI QIDQ2926486FDOQ2926486
Authors: Isabel Duarte, Alberto Pinto, Stanley R. Pliska, D. Pinheiro 
Publication date: 24 October 2014
Published in: Optimization (Search for Journal in Brave)
Abstract: We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the income to purchase life insurance in order to provide for his estate, while investing his savings in a financial market comprised of one risk-free security and an arbitrary number of risky securities driven by multi-dimensional Brownian motion. We then provide a detailed analysis of the optimal consumption, investment, and insurance purchase strategies for the wage earner whose goal is to maximize the expected utility obtained from his family consumption, from the size of the estate in the event of premature death, and from the size of the estate at the time of retirement. We use dynamic programming methods to obtain explicit solutions for the case of discounted constant relative risk aversion utility functions and describe new analytical results which are presented together with the corresponding economic interpretations.
Full work available at URL: https://arxiv.org/abs/1102.2263
Recommendations
- An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- Optimal life insurance purchase and consumption/investment under mean-reverting returns
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal investment-consumption-insurance with random parameters
Dynamic programming (90C39) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
Cited In (29)
- Title not available (Why is that?)
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- On Merton’s Problem for Life Insurers
- Two-player zero-sum stochastic differential games with random horizon
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- Optimal investment-consumption-insurance with partial information
- An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
- Optimal consumption/investment and life insurance with regime-switching financial market parameters
- Dynamic portfolio choice with stochastic wage and life insurance
- Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
- Household lifetime strategies under a self-contagious market
- Optimal social welfare policy within financial and life insurance markets
- Optimal consumption, investment life insurance and asset allocation under consideration of stochastic labor income
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- Optimal investment-consumption-insurance with random parameters
- Pathwise stochastic control and a class of stochastic partial differential equations
- Household consumption, investment and life insurance
- Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
- Health shock risk, critical illness insurance, and housing services
- Optimal life insurance purchase and consumption/investment under mean-reverting returns
- Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
- Optimal pension fund management under risk and uncertainty: the case study of Poland
This page was built for publication: Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2926486)
