Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11889/7121
Title: | Optimal social welfare policy within financial and life-insurance markets | Authors: | Hoshiea, Moath Mousa, Abdelrahim Pinto, Alberto |
Keywords: | Optimal consumption;Optimal investment;Optimal life insurance selection;Optimal social welfare policy;Stochastic optimal control;Dynamic programming;Hamilton–Jacobi–Bellman equation;Investments - Mathematical models;Bankruptcy - Mathematical models;Investment analysis - Mathematical models | Issue Date: | 12-Mar-2022 | Publisher: | Optimization: A Journal of Mathematical Programming and Operations Research | Project: | Birzeit University project 33/2021. | Journal: | Optimization: A Journal of Mathematical Programming and Operations Research | Abstract: | We consider a continuous lifetime model for investor whose lifetime is a random variable. We assume the investor has an access to the social welfare system, the financial market and the life insurance market. The investor aims to find the optimal strategies that maximize the expected utility obtained from consumption, investing in the financial market, buying life insurance, registering in the social welfare system, the size of his estate in the event of premature death and the size of his fortune at time of retirement if he lives that long. We use dynamic programming techniques to derive a second-order nonlinear partial differential equation whose solution is the maximum objective function. We use special case of discounted constant relative risk aversion utilities to find an explicit solutions for the optimal strategies. Finally, we have shown a numerical solution for the problem under consideration and study some properties for the optimal strategies. | URI: | http://hdl.handle.net/20.500.11889/7121 | DOI: | https://doi.org/10.1080/02331934.2022.2059368 |
Appears in Collections: | Fulltext Publications |
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