Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity

In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described by an Ornstein-Uhlenbeck process. addition to consumption purchasing insurance, invests his wealth in financial market, which consists of risk-free asset, market index, pair risky assets with mispricing. Our aim is maximize expected utilities obtained from consumption, bequest, or at end decision horizon. With dynamic programming approach, obtain explicit solutions optimization problem solving corresponding HJB equation. Finally, several numerical examples are presented illustrate our results.