Life Insurance and Subsistence Consumption with an Exponential Utility
Keyword(s):
In this paper, we derive an explicit solution to the utility maximization problem of an individual with mortality risk and subsistence consumption constraint. We adopt an exponential utility for the individual’s consumption and the martingale and duality method is employed. From the explicit solution, we exhibit how the mortality intensity and subsistence consumption constraint affect, separately and together, portfolio, consumption and life insurance purchase.
2015 ◽
Vol 2015
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pp. 1-6
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2018 ◽
Vol 88
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pp. 185-240
2020 ◽
Vol 130
(7)
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pp. 4444-4469
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2020 ◽
Vol 45
(4)
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pp. 1210-1236
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