均值回归模型下最优人寿保险的购买和投资消费问题  

Optimal life insurance purchase and consumption/investment under mean-reverting returns

作　　者：梁晓青[1] 郭军义[1] 

机构地区：[1]南开大学数学科学学院,天津300071

出　　处：《中国科学：数学》2015年第5期623-638,共16页Scientia Sinica：Mathematica

基　　金：国家自然科学基金(批准号:11171164);RARE-318984(an FP7 Marie Curie IRSES)资助项目

摘　　要：本文考虑在均值回归回报模型下工资收益者的最优保险购买、消费和投资问题.假设工资收益者的收益是随机的,并且在退休前和退休后其风险偏好是可以改变的,则通过使用鞅方法,本文求得了在HARA(hyperbolic absolute risk aversion)效用下,工资收益者所采取的最优策略和值函数的显式表达式.In this paper, we consider optimal insurance and consumption/investment rules for a wage earner until an uncertain lifetime under mean-reverting returns. We assume the wage earner receives a random labor income and can change the preferences before and after retirement. By using the martingale method, we solve this problem and obtain the optimal strategies and value function explicitly for the family of HARA （hyperbolic absolute risk aversion） utilities.

关 键 词：人寿保险 均值回归过程 鞅方法 

分 类 号：O212.1[理学—概率论与数理统计]