Please use this identifier to cite or link to this item: http://ena.lp.edu.ua:8080/handle/ntb/24312
Title: An optimal life insurance policy in the continuous-time investment – consumption problem
Authors: Iwaki, Hideki
Osaki, Yusuke
Bibliographic description (Ukraine): Hideki 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.
Issue Date: 2011
Publisher: Видавництво Львівської політехніки
Keywords: life insurance
investment/consumption model
martingale
convex duality
incomplete marke
Abstract: This 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.
URI: http://ena.lp.edu.ua:8080/handle/ntb/24312
Content type: Article
Appears in Collections:Економіка і менеджмент (EM-2011 ). – 2011 р.

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