Life Insurance and Subsistence Consumption with an Exponential Utility

Ho-Seok Lee
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Ho-Seok Lee: Department of Mathematics, Kwangwoon University, Seoul 01897, Korea

Mathematics, 2021, vol. 9, issue 4, 1-10

Abstract: In this paper, we derive an explicit solution to the utility maximization problem of an individual with mortality risk and subsistence consumption constraint. We adopt an exponential utility for the individual’s consumption and the martingale and duality method is employed. From the explicit solution, we exhibit how the mortality intensity and subsistence consumption constraint affect, separately and together, portfolio, consumption and life insurance purchase.

Keywords: life insurance; subsistence consumption; portfolio selection; exponential utility; martingale method (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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