Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11889/4012
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dc.contributor.authorMousa, Abdelrahim-
dc.contributor.authorPinheiro, Diogo-
dc.contributor.authorPinto, Alberto-
dc.date.accessioned2017-01-04T06:32:16Z-
dc.date.available2017-01-04T06:32:16Z-
dc.date.issued2016-01-13-
dc.identifier.otherhttp://dx.doi.org/10.1016/j.insmatheco.2016.01.002-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S016766871530069X-
dc.identifier.urihttp://hdl.handle.net/20.500.11889/4012-
dc.description.abstractWe consider the problem faced by a wage-earner with an uncertain lifetime having to reach decisions concerning consumption and life-insurance purchase, while investing his savings in a financial market comprised of one risk-free security and an arbitrary number of risky securities whose prices are determined by diffusive linear stochastic differential equations. We assume that life-insurance is continuously available for the wage-earner to buy from a market composed of a fixed number of life-insurance companies offering pairwise distinct life-insurance contracts. We characterize the optimal consumption, investment and life-insurance selection and purchase strategies for the wage-earner with an uncertain lifetime and 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 techniques to obtain an explicit solution in the case of discounted constant relative risk aversion (CRRA) utility functions.en_US
dc.language.isoenen_US
dc.publisherElsevier ScienceDirecten_US
dc.relation.ispartofseriesInsurance: Mathematics and Economics;67-
dc.subjectLife insuranceen_US
dc.subjectInvestments - Mathematical modelsen_US
dc.subjectLife insurance - Purchasingen_US
dc.subjectStochastic processes - Mathematical modelsen_US
dc.subjectDynamic programmingen_US
dc.titleOptimal life insurance purchase from a market of several competing life insurance providersen_US
dc.typeArticleen_US
newfileds.departmentScienceen_US
newfileds.item-access-typeopen_accessen_US
newfileds.thesis-prognoneen_US
newfileds.general-subjectMathematical Sciences | العلوم الرياضية-الرياضياتen_US
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