Optimal social welfare policy within financial and life insurance markets

• Tipo: Artigo em Revista Científica Internacional
• Data: 2023

Autores

Hoshiea, M (Autor) Outra; Mousa, AS (Autor) Outra; Alberto A. Pinto (Autor) FCUP

Revista

Título: Optimization

Vol. 72 Nº 11

Páginas: 2367-2391

ISSN: 0233-1934

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 1 Citação

Scopus - 1 Citação

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 25