部分信息下多个寿险购买与投资消费问题  

Multiple Life Insurance Purchase and Consumption/Investment under Partial Information

作　　者：余骁航 何华[1] YU Xiaohang;HE Hua(school of Science,Hebei University of Technology,Tianjin,300401,China)

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《应用概率统计》2021年第2期155-173,共19页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(批准号:11171164)资助.

摘　　要：考虑了部分信息下工资收入者的最优消费、投资和多个寿险选择与购买的问题,目标是使工资收入者的消费、遗产和退休时的终端财富的期望效用最大化,求得了幂效用和对数效用下的最优值函数和相应的最优策略,并给出了一个数值例子及相应的结果分析.In this paper,we study the optimal insurance and consumption/investment strategies for a wage earner with an uncertain lifetime under partial information.The goal is to maximize the expected utility of a wage earner's consumption,bequest and terminal wealth.We obtain the optimal value functions and the corresponding optimal strategies under the power utility and logarithmic utility.Finally,we give a numerical example and derive the corresponding results.

关 键 词：部分信息 消费投资 寿险购买 最优策略 

分 类 号：O212.1[理学—概率论与数理统计]