Work

Optimal decision-making for consumption, investment, housing, and life insurance purchase in a couple with dependent mortality

Year: 2025

Type: article

Abstract: In this article, we study an optimization problem for a couple including two breadwinners with uncertain life times. Both breadwinners need to choose the optimal strategies for consumption, investment, housing, and life insurance purchasing to maximize the utility. In this article, the prices of housing assets and investment risky assets are assumed to be correlated. These two breadwinners are considered to have dependent mortality rates to include the breaking heart effect. The method of copula functions is used to construct the joint survival functions of two breadwinners. The analytical solutions of optimal strategies can be achieved, and numerical results are demonstrated.

Source: Annals of Actuarial Science

DOI: 10.1017/s1748499525000028

Authors: Jinhui Zhang, Jiaqin Wei, Ning Wang

Institutions: Macquarie University, East China Normal University, Australian National University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,550

Funder: National Natural Science Foundation of China