Please use this identifier to cite or link to this item: http://repositorio.inesctec.pt/handle/123456789/2948
Title: Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
Authors: Diogo Pinheiro
Isabel Duarte
Stanley R. Pliska
Alberto Pinto
Issue Date: 2012
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.
URI: http://repositorio.inesctec.pt/handle/123456789/2948
http://dx.doi.org/10.1080/02331934.2012.665054
metadata.dc.type: article
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Appears in Collections:LIAAD - Articles in International Journals

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