In this paper, we study the optimal insurance and consumption/investment strategies for a wage earner with an uncertain lifetime under partial information. The goal is to maximize the expected utility of a wage earner's consumption, bequest and terminal wealth. We obtain the optimal value functions and the corresponding optimal strategies under the power utility and logarithmic utility. Finally, we give a numerical example and derive the corresponding results.
余骁航, 何华. 部分信息下多个寿险购买与投资消费问题[J]. 应用概率统计, 2021, 37(2): 155-.
YU Xiaohang; HE Hua. Multiple Life Insurance Purchase and Consumption/Investment under Partial Information. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2021, 37(2): 155-.