The Optimal Financial Decision-making with Life Insurance and Different Rates Between Deposit and Loan

被引：0
|
作者：
Wang, Qiuyuan [1 ]
Wang, Jun [1 ]
Yang, Ruicheng [2 ]
机构：
[1] Beijing Jiaotong Univ, Coll Sci, Beijing 100044, Peoples R China
[2] Ludong Univ, Sch Math & Informat, Yantai 26402, Peoples R China
来源：
PROCEEDINGS OF THE 8TH WSEAS INTERNATIONAL CONFERENCE ON INSTRUMENTATION, MEASUREMENT, CIRCUITS AND SYSTEMS: INSTRUMENTATION, MEASUREMENT, ELECTRONICS, CIRCUITS AND SYSTEMS | 2009年
基金：
中国国家自然科学基金;
关键词：
life insurance; different rates of deposit and loan; Bellman dynamic programming principle; Ito formular nonlinear programming;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
With different rates between deposit and loan in financial market and an investor need life insurance, we consider the optimal financial decision-making of an investor from time 0 to stopping, time tau, that tau is time of death. Using Bellman dynamic programming principle and nonlinear programming principle, we derive the value function in closed form, and optimal controls are obtained explicitly. Furthermore, we discuss the influence of parameter lambda to the value function for different cases, give the relationship of mu and the value function. Also, we present table and the intuitive graphs for some cases.
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页码：218 / +
页数：2
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