Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model

被引：4
|
作者：
Wang, Hao [1 ]
Wang, Rongming [1 ]
Wei, Jiaqin [1 ]
Xu, Shaosheng [2 ]
机构：
[1] East China Normal Univ, Sch Stat, 500 Dongchuan Rd, Shanghai 200241, Peoples R China
[2] Anhui Normal Univ, Sch Math & Comp Sci, Wuhu, Anhui, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 14期
基金：
中国国家自然科学基金;
关键词：
Investment-consumption-insurance; martingale; power utility; regime-switching; self-exciting threshold model; LIFE-INSURANCE; PORTFOLIO CHOICE; PURCHASE; MARKET;
D O I：
10.1080/03610926.2018.1477161
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider an optimal investment-consumption-insurance purchase problem for a wage earner. We assume that the price of the risky asset is governed by a continuous-time, finite state self-exciting threshold model. In this model, the state space of the price of the risky asset is partitioned by a set of thresholds and the parameters depend on the region which the current value of the price falls in. The wage earner's objective is to find the optimal investment-consumption-insurance strategy that maximizes the expected discounted utilities. The optimal strategy for power utility function is derived by the martingale approach and the dynamic programming approach. Numerical examples are also provided to illustrate the effect of the thresholds.
引用
收藏
页码：3530 / 3548
页数：19
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