Optimal life-insurance selection and purchase within a market of several life-insurance providers

Abstract

We 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 lifeinsurance 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.

Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach

“…Then, the conditional survival probability of the wage earner is given by: As in Mousa et al [12], we suppose the existence of an insurance market composed of M insurance companies, with each insurance company continuously offering life insurance contracts. We assume that the wage earner is paying premium insurance rate p n (t), at time t for each company n = 1, 2, .…”

“…From (3.9), the optimal consumption can explicitly be obtained by (ii) The optimal premium insurance p * n (t, x, y) is obtained using the Kuhn-Tucker conditions of optimality. As in Mousa et al [12], we are looking for the solutions (p 1 (t, x, y); . .…”

Two-player zero-sum stochastic differential games with random horizon

“…Moreover, we think that this is not only relevant from a theoretical point of view, but also that it might eventually contribute to a better understanding of a number of economic and financial applications exhibiting random planning horizons (see e.g. [7], [8], [14], [27], [30], [36], [37], and [42]).…”

Geometric Approaches and Bifurcations in the Dichotomous Decision Model = الطرق الهندسية والتداخلات في نموذج القرار ذو الحدين

“…The dichotomous decision model has been extended to a general model in [8], and other future extension formulation for the decision model would be to include some kind of stochastic pattern in the model parameters. A recent research articles that handel a stochastic decision problems for individuals introduced by Mousa et al (see [12,13]).…”