A dynamic game approach for optimal consumption, investment and life insurance problem
研究了两个寿命随机的投资者在非合作与合作场景下，如何通过动态博弈选择最优消费、投资和人寿保险，发现合作促进消费最优性，非合作促进死亡风险覆盖。
Abstract In this paper, we consider a multi-agent portfolio optimization model with life insurance for two players with random lifetime under a dynamic game approach. Each player is a price-taker and invests in the market to maximize her own utility for consumption and bequest. The market is complete and consists of n different assets, of which $$n-1$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>n</mml:mi> <mml:mo>-</mml:mo> <mml:mn>1</mml:mn> </mml:mrow> </mml:math> are risky with prices driven by Geometric Brownian motion, while one is risk-free. We analyze both the non-cooperative and cooperative scenarios, and by considering the family of CRRA utility functions, we determine the closed-form expressions of the optimal consumption, investment, and life insurance for both players. A sensitivity analysis is provided both to illustrate the impact of the biometric and risk aversion parameters on the optimal controls and to compare the non-cooperative strategies with the cooperative ones. As a result, we suggest that cooperation favors the consumption optimality, while non-cooperation promotes the coverage of the risk of death.