Life Insurance and Subsistence Consumption with an Exponential Utility
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 solutio...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-02-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/4/358 |