Title :
Optimal life insurance, consumption and portfolio: A dynamic programming approach
Author_Institution :
Dept. of Math., Illinois Univ. at Chicago, Chicago, IL
Abstract :
A continuous-time model of optimal life insurance, consumption and portfolio is examined by dynamic programming technique. The Hamilton-Jacobi- Bellman (HJB in short) equation with the absorbing boundary condition is derived. Then explicit solutions for constant relative risk aversion (CRRA in short) utilities with subsistence levels are obtained. Asymptotic analysis is used to analyze the model.
Keywords :
Jacobian matrices; continuous time systems; dynamic programming; insurance; risk analysis; Hamilton-Jacobi- Bellman equation; constant relative risk aversion; continuous-time model; dynamic programming; optimal life insurance; Boundary conditions; Dynamic programming; Equations; Insurance; Investments; Portfolios; Random variables; Remuneration; Retirement; Security; CRRA utilities with subsistence levels; HJB equation; absorbing boundary condition; asymptotic analysis; consumption/investment; life insurance;
Conference_Titel :
American Control Conference, 2008
Conference_Location :
Seattle, WA
Print_ISBN :
978-1-4244-2078-0
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2008.4586516
