We study a robust consumption-investment problem with retirement and life insurance
decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming …

In this paper, we aim to study optimal decisions on consumption, investment and purchasing
life insurance of a household with two consecutive generations, say parents and children. A …

We build a life insurance model in the tradition of Richard (1975) and Pliska and Ye (2007).
Two agents purchase life insurance by continuously paying two premiums. At the random …

This paper studies a life-cycle optimal portfolio-consumption problem when the consumption
performance is measured by a shortfall aversion preference under an additional drawdown …

This paper studies the optimal consumption, investment, health insurance and life insurance
strategy for a wage earner with smooth ambiguity, habit formation and biometric risks. The …

Life insurance enhances households' capacity to absorb financial shocks and protects
against personal risks that no one likes to contemplate. This is even more important in times …

We formalize a consumption–investment–insurance problem with the distinction of a state-
dependent relative risk aversion. The state dependence refers to the state of the finite state …

In this paper, we investigate an optimization problem for a wage earner seeking to maximize
expected utilities until retirement by choosing optimal consumption, investment, and life …

This paper examines the impact of habit formation on the demand for life-contingent
contracts in a life-cycle model. We derive an analytical solution for the optimal consumption …

This paper studies the dynamically optimal consumption, investment and life-insurance
strategies for a wage earners under inside information and inflation. Assume that the wage …