Multiple Life Insurance Purchase and Consumption/Investment under Partial Information
-
-
Abstract
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.
-
-