Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11889/7122
Title: Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
Authors: Mousa, Abdelrahim 
Pinheiro, Diogo 
Pinheiro, Susan 
Pinto, Alberto 
Keywords: Uncertain lifetime;Life-insurance purchase and selection;Stochastic optimal control
Issue Date: 25-Jul-2022
Publisher: Optimization: A Journal of Mathematical Programming and Operations Research
Project: Birzeit University project with reference 92/2022T1. 
Journal: Optimization: A Journal of Mathematical Programming and Operations Research 
Abstract: We study the optimal consumption, investment and life-insurance purchase and selection strategies for a wage-earner with an uncertain lifetime with access to a financial market comprised of one risk-free security and one risky-asset whose prices evolve according to linear diffusions modulated by a continuous-time stochastic process determined by an additional diffusive nonlinear stochastic differential equation. The process modulating the linear diffusions may be regarded as an indicator describing the state of the economy in a given instant of time. Additionally, we allow the Brownian motions driving each of these equations to be correlated. The life-insurance market under consideration herein consists of a fixed number of providers offering pairwise distinct contracts. We use dynamic programming techniques to characterize the solutions to the problem described above for a general family of utility functions, studying the case of discounted constant relative risk aversion utilities with more detail.
URI: http://hdl.handle.net/20.500.11889/7122
DOI: https://doi.org/10.1080/02331934.2022.2107925
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