Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms

Detalhes bibliográficos
Autor(a) principal: Diogo Pinheiro
Data de Publicação: 2012
Outros Autores: Isabel Duarte, Stanley R. Pliska, Alberto Pinto
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://repositorio.inesctec.pt/handle/123456789/2948
http://dx.doi.org/10.1080/02331934.2012.665054
Resumo: 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.
id RCAP_1681b7cea35dcbec2adf16fcac2abca4
oai_identifier_str oai:repositorio.inesctec.pt:123456789/2948
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive termsWe 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.2017-11-16T14:20:33Z2012-01-01T00:00:00Z2012info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://repositorio.inesctec.pt/handle/123456789/2948http://dx.doi.org/10.1080/02331934.2012.665054engDiogo PinheiroIsabel DuarteStanley R. PliskaAlberto Pintoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-15T10:20:25Zoai:repositorio.inesctec.pt:123456789/2948Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:53:05.475571Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
title Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
spellingShingle Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
Diogo Pinheiro
title_short Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
title_full Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
title_fullStr Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
title_full_unstemmed Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
title_sort Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
author Diogo Pinheiro
author_facet Diogo Pinheiro
Isabel Duarte
Stanley R. Pliska
Alberto Pinto
author_role author
author2 Isabel Duarte
Stanley R. Pliska
Alberto Pinto
author2_role author
author
author
dc.contributor.author.fl_str_mv Diogo Pinheiro
Isabel Duarte
Stanley R. Pliska
Alberto Pinto
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2012-01-01T00:00:00Z
2012
2017-11-16T14:20:33Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://repositorio.inesctec.pt/handle/123456789/2948
http://dx.doi.org/10.1080/02331934.2012.665054
url http://repositorio.inesctec.pt/handle/123456789/2948
http://dx.doi.org/10.1080/02331934.2012.665054
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131606108078080

Registros relacionados