Optimal social welfare policy within financial and life insurance markets

• Type: Article in International Scientific Journal
• Date: 2023

Authors

Hoshiea, M (Author) Other; Mousa, AS (Author) Other; Alberto A. Pinto (Author) FCUP

Journal

Title: Optimization

Vol. 72 No. 11

Pages: 2367-2391

ISSN: 0233-1934

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 1 Citation

Scopus - 1 Citation

Other information

Authenticus ID: P-00W-EEQ

DOI: 10.1080/02331934.2022.2059368

Abstract (EN): We consider a continuous lifetime model for investor whose lifetime is a random variable. We assume the investor has an access to the social welfare system, the financial market and the life insurance market. The investor aims to find the optimal strategies that maximize the expected utility obtained from consumption, investing in the financial market, buying life insurance, registering in the social welfare system, the size of his estate in the event of premature death and the size of his fortune at time of retirement if he lives that long. We use dynamic programming techniques to derive a second-order nonlinear partial differential equation whose solution is the maximum objective function. We use special case of discounted constant relative risk aversion utilities to find an explicit solutions for the optimal strategies. Finally, we have shown a numerical solution for the problem under consideration and study some properties for the optimal strategies.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 25