An optimal life insurance policy in the continuous-time investment – consumption problem

dc.contributor.authorIwaki, Hideki
dc.contributor.authorOsaki, Yusuke
dc.date.accessioned2014-04-10T15:19:54Z
dc.date.available2014-04-10T15:19:54Z
dc.date.issued2011
dc.description.abstractThis paper considers an optimal life insurance purchase for a household subject to mortality risk. The household receives wage income continuously, which could be terminated by unexpected premature loss of earning power. In order to hedge the risk of losing income stream, the household enters a life insurance contract for the bereft members. The household may also invest their wealth into a financial market. If insurance payment is made prior to the planned time horizon, the amount shall be used for consumption and investment. Therefore, the problem is to determine an optimal insurance/investment/consumption strategy in order to maximize the expected total discounted utility from consumption and terminal wealth. We provide explicit solutions in a fairly general setup.uk_UA
dc.identifier.citationHideki I. An optimal life insurance policy in the continuous-time investment – consumption problem / Hideki Iwaki, Yusuke Osaki // Економіка і менеджмент : матеріали ІI Міжнародної конференції молодих вчених ЕМ-2011, 24–26 листопада 2011 р., Львів, Україна / Національний університет "Львівська політехніка". – Львів : Видавництво Львівської політехніки, 2011. – C. 238–241. – (3-й Міжнародний молодіжний фестиваль науки). – Bibliography: 2 titles.uk_UA
dc.identifier.urihttps://ena.lpnu.ua/handle/ntb/24312
dc.language.isoenuk_UA
dc.publisherВидавництво Львівської політехнікиuk_UA
dc.subjectlife insuranceuk_UA
dc.subjectinvestment/consumption modeluk_UA
dc.subjectmartingaleuk_UA
dc.subjectconvex dualityuk_UA
dc.subjectincomplete markeuk_UA
dc.titleAn optimal life insurance policy in the continuous-time investment – consumption problemuk_UA
dc.typeArticleuk_UA

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