Optimal investment, consumption, and life insurance in an incomplete market

被引：4
|
作者：
Liang, Xiaoqing [1 ]
Guo, Junyi [2 ]
机构：
[1] Hebei Univ Technol, Sch Sci, Tianjin, Peoples R China
[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2016年 / 45卷 / 13期
基金：
中国国家自然科学基金;
关键词：
Incomplete market; life insurance; martingale method; optimal investment and consumption; MEAN-REVERTING RETURNS; PORTFOLIO CHOICE;
D O I：
10.1080/03610926.2014.911907
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 article, we solve an optimal insurance-consumption-investment problem for a wage earner in an incomplete market, where the stock price has a mean-reverting drift. By using the martingale method, we analyze this problem and derive the optimal strategies. Explicit solutions are found for both power and logarithmic utilities.
引用
收藏
页码：3884 / 3903
页数：20
相关论文
共 50 条
  • [1] Optimal investment and consumption decision of a family with life insurance
    Kwak, Minsuk
    Shin, Yong Hyun
    Choi, U. Jin
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2011, 48 (02): : 176 - 188
  • [2] A note on optimal investment-consumption-insurance in a Levy market
    Guambe, Calisto
    Kufakunesu, Rodwell
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2015, 65 : 30 - 36
  • [3] Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
    Liu, Guo
    Jin, Zhuo
    Li, Shuanming
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2021, 101 : 508 - 524
  • [4] Optimal investment-consumption and life insurance with capital constraints
    Guambe, Calisto
    Kufakunesu, Rodwell
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2020, 49 (03) : 648 - 669
  • [5] An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
    Duarte, Isabel
    Pinheiro, Diogo
    Pinto, Alberto A.
    Pliska, Stanley R.
    [J]. DYNAMICS, GAMES AND SCIENCE I, 2011, 1 : 271 - 286
  • [6] Optimal consumption, investment and life insurance with surrender option guarantee
    Kronborg, Morten Tolver
    Steffensen, Mogens
    [J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2015, 2015 (01) : 59 - 87
  • [7] Optimal consumption, investment and insurance with insurable risk for an investor in a Levy market
    Perera, Ryle S.
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (03): : 479 - 484
  • [8] Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
    Pirvu, Traian A.
    Zhang, Huayue
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02): : 303 - 309
  • [9] Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
    Duarte, I.
    Pinheiro, D.
    Pinto, A. A.
    Pliska, S. R.
    [J]. OPTIMIZATION, 2014, 63 (11) : 1737 - 1760
  • [10] A dynamic game approach for optimal consumption, investment and life insurance problem
    Maggistro, Rosario
    Marino, Mario
    Martire, Antonio
    [J]. ANNALS OF OPERATIONS RESEARCH, 2024,
12345