DocumentCode :
3176536
Title :
Optimal Life Insurance, Consumption and Portfolio under Uncertainty: Martingale Methods
Author :
Ye, Jinchun
Author_Institution :
Univ. of Illinois at Chicago, Chicago
fYear :
2007
fDate :
9-13 July 2007
Firstpage :
1103
Lastpage :
1109
Abstract :
A continuous-time model for life insurance purchase, consumption and investment is proposed. In this paper we obtain the arbitrage value of human capital and characteristics of admissibility using stochastic analysis, show our model is complete, then establish the existence of optimal solutions using convex analysis. Finally, explicit solutions are found for CRRA utilities.
Keywords :
insurance; investment; stochastic processes; continuous-time model; convex analysis; investment; martingale methods; optimal life insurance; portfolio; stochastic analysis; Humans; Insurance; Investments; Optimal control; Portfolios; Remuneration; Retirement; Security; Stochastic processes; Uncertainty; consumption/investment; convex analysis; life insurance; stochastic analysis;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
American Control Conference, 2007. ACC '07
Conference_Location :
New York, NY
ISSN :
0743-1619
Print_ISBN :
1-4244-0988-8
Electronic_ISBN :
0743-1619
Type :
conf
DOI :
10.1109/ACC.2007.4283150
Filename :
4283150
Link To Document :
https://search.ricest.ac.ir/dl/search/defaultta.aspx?DTC=49&DC=3176536
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