Please use this identifier to cite or link to this item:
|Title:||Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms|
Stanley R. Pliska
|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.|
|Appears in Collections:||LIAAD - Articles in International Journals|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.