余骁航, 何华. 部分信息下多个寿险购买与投资消费问题[J]. 应用概率统计, 2021, 37(2): 155-173. DOI: 10.3969/j.issn.1001-4268.2021.02.004
引用本文: 余骁航, 何华. 部分信息下多个寿险购买与投资消费问题[J]. 应用概率统计, 2021, 37(2): 155-173. DOI: 10.3969/j.issn.1001-4268.2021.02.004
YU Xiaohang, HE Hua. Multiple Life Insurance Purchase and Consumption/Investment under Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(2): 155-173. DOI: 10.3969/j.issn.1001-4268.2021.02.004
Citation: YU Xiaohang, HE Hua. Multiple Life Insurance Purchase and Consumption/Investment under Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(2): 155-173. DOI: 10.3969/j.issn.1001-4268.2021.02.004

部分信息下多个寿险购买与投资消费问题

Multiple Life Insurance Purchase and Consumption/Investment under Partial Information

  • 摘要: 考虑了部分信息下工资收入者的最优消费、投资和多个寿险选择与购买的问题,目标是使工资收入者的消费、遗产和退休时的终端财富的期望效用最大化,求得了幂效用和对数效用下的最优值函数和相应的最优策略,并给出了一个数值例子及相应的结果分析.

     

    Abstract: In this paper, we study the optimal insurance and consumption/investment strategies for a wage earner with an uncertain lifetime under partial information. The goal is to maximize the expected utility of a wage earner's consumption, bequest and terminal wealth. We obtain the optimal value functions and the corresponding optimal strategies under the power utility and logarithmic utility. Finally, we give a numerical example and derive the corresponding results.

     

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