Filipe Martins (CeBER, Faculdade de Economia, Universidade de Coimbra)
We study a consumption-investment optimal control problem of a wage earner facing an uncertain lifetime and having access to a certain number of life insurance providers. The financial market comprises a risk-free asset – a money market – a finite number of risky assets, and an inflation-indexed asset. We solve the control problem in the general setting where the market parameters are stochastic processes by the martingale method. In particular, we show that the wage earner optimally purchases life insurance from at most one provider at any given time, namely the provider offering the most favourable contract.
Poster