Optimal consumption, investment and life insurance selection under robust utilities

M. Ferreira, D. Pinheiro and S. Pinheiro ()
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M. Ferreira: ISAG — European Business School and Research Center in Business Sciences and Tourism (CICET-FCVC), Campus de Salazares/Ramalde, R. de Salazares 842, 4100-442 Porto, Portugal2ISMAI — Universidade da Maia Av. Carlos de Oliveira Campos, 4475-690 Maia, Portugal
D. Pinheiro: Department of Mathematics, Brooklyn College of the City University of New York, USA4Department of Mathematics, Graduate Center of the City University of New York, USA
S. Pinheiro: Department of Mathematics and Computer Science, Queensborough Community College of the City University of New York, USA

International Journal of Financial Engineering (IJFE), 2023, vol. 10, issue 03, 1-28

Abstract: We study the problem faced by a wage earner with an uncertain lifetime who has access to a Black–Scholes-type financial market consisting of one risk-free security and one risky asset. His preferences relative to consumption, investment and life insurance purchase are described by a robust expected utility. We rewrite this problem in terms of a two-player zero-sum stochastic differential game and we derive the wage earner optimal strategies for a general class of utility functions, studying the case of discounted constant relative risk aversion utility functions with more detail.

Keywords: Optimal consumption and investment; life insurance; uncertain lifetime; stochastic differential games (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2424786323500160

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