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 \(n-1\) 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.
