Optimal social welfare policy within financial and life insurance markets

Hoshiea, M.; Mousa, Abdelrahim; Pinto, Alberto A.

doi:10.1080/02331934.2022.2059368

Cited by 1 publication

(1 citation statement)

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“…The optimal strategies were obtained by Mousa et al [13] in the case of multidimensional life insurance, which assumed that a life-insurance market consists of different life-insurance contracts from a finite number of insurers. Hoshiea et al [14] took both a social welfare system and multiple life-insurance policies into account to study the optimal strategies. Considering multidimensional life insurance, Mousa et al [15] introduced an economic indicator represented by a stochastic process that affects the financial assets and studied an optimal asset-allocation problem of a wage earner.…”

Section: Introductionmentioning

confidence: 99%

The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation

Jiao,

Liu,

2023

Mathematics

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This paper studies the dynamically optimal consumption, investment and life-insurance strategies for a wage earners under inside information and inflation. Assume that the wage earner can invest in a risk-free asset, a risky asset and an inflation-indexed bond and that the wage earner can obtain some additional information on the risky asset from the financial market. By maximizing the expected utility of the wage earner’s consumption, inheritance and terminal wealth, we obtain the dynamically optimal consumption, investment and life-insurance strategies for the wage earner. The method of this paper is mainly based on (dynamical) stochastic control theory and the technique of enlargement of filtrations. Moreover, sensitivity analysis is carried out, which reveals that a wage earner with inside information tends to increase his/her consumption and investment, while reducing his/her purchase of life insurance.

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Section: Introductionmentioning

confidence: 99%