We determine the optimal robust strategy of an individual who seeks to maximize the (penalized) probability of reaching a bequest goal when she is uncertain about the drift of the risky asset and her hazard rate of mortality. We assume the individual can invest in a Black–Scholes market. We solve two optimization problems with ambiguity. The first is to maximize the penalized probability of reaching a bequest goal without life insurance in the market. In the second problem, in addition to investing in the financial market, the individual is allowed to purchase term life insurance to help her reach her bequest goal. As the individual becomes more ambiguity averse concerning the drift of the risky asset, she becomes more conservative with her investment strategy. Also, as she becomes more ambiguity averse about her hazard rate of mortality, numerical work indicates she is more likely to buy life insurance when the ambiguity towards the return of the risky asset is not too large.

中文翻译：

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以人寿保险达成既定目标：关于风险资产的流失和死亡率的危险率的歧义

我们确定了一个个体的最佳鲁棒策略，该个体在不确定风险资产的漂移和死亡率的危险性时，力求最大程度地提高（遗产化）达到遗产遗产目标的可能性。我们假设个人可以投资布莱克－斯科尔斯市场。我们可以解决两个优化问题。首先是在市场上没有人寿保险的情况下最大限度地提高达到遗赠目标的受罚概率。在第二个问题中，除了投资金融市场外，个人还被允许购买定期人寿保险以帮助她达到遗赠目标。随着个人对风险资产的流失变得更加模棱两可，她的投资策略也变得更加保守。而且，随着她对死亡率的危害率越来越模糊，