文章基本信息

标题：Optimal Investment Problem for Life Insurance Company by Considering Health-Level
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作者：Jiachen Chen ; Ximin Rong ; Hui Zhao 等
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2019
卷号：10
期号：4
页码：1107-1120
DOI：10.4236/me.2019.104075
出版社：Scientific Research Publishing
摘要：In this paper, we study the optimal investment strategy for a life insurance company in a health-level framework. The income-levels of residents in different regions are different and this leads to different health-levels for various regions. We present a new framework to study the risk caused by different health-levels. The surplus process of the insurance company is described by the classical Cramér-Lundberg Model. The company is allowed to invest in a risk-free asset and a risky asset. For mean-variance criterion, we establish the corresponding Hamilton-Jacobi-Bellmen (HJB) equations and derive the time-consistent investment strategy. Finally, we provide numerical simulations to analyze the effects of the health-level on the insurer’s value function.
关键词：Health-Level;Investment;Mean-Variance Criterion;Hamilton-Jacobi-Bellman Equation