Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/32690
Título: | Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms |
Autor(es): | Duarte, I. Pinheiro, D. Pinto, A. A. Pliska, S. R. |
Palavras-chave: | Stochastic optimal control Consumption-investment problems Life insurance |
Data: | 2014 |
Editora: | Taylor and Francis |
Revista: | Optimization |
Resumo(s): | 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 multidimensional 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/32690 |
DOI: | 10.1080/02331934.2012.665054 |
ISSN: | 0233-1934 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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1102.2263v1.pdf | 366,88 kB | Adobe PDF | Ver/Abrir |