主 题: Optimal Life Insurance Purchase, Consumption, and Investment:Dynamic Programming and Martingale Methods
报告人: Prof. Pliska (Univ. of Illinois at Chicago)
时 间: 2007-06-13 下午 3:00
地 点: 理科一号楼 1418M
A continuous time model is developed for determining a wage
earner?€?s optimal strategies for dividing lifetime income between the
purchase of life insurance, consumption, and investment. For the
purposes of investment there are both riskless and risky assets. The
wage earner, whose lifetime is uncertain, seeks to maximize the
expectation of (1) the utility of consumption while still alive and
working, (2) the utility of the bequest (which includes the insurance
payout) upon premature death, and (3) the utility of the size of the
estate upon retirement (if he or she lives that long). This talk will
focus on how this problem can be solved with two approaches: dynamic
programming and martingale methods. An explicit solution will be derived for the case of CRRA utility functions.
For other cases it will be shown how to numerically solve the relevant
dynamic programming (Hamilton-Jacobi-Bellman) equation. Numerical
examples will be presented in an effort to understand how the model
parameters affect the optimal decisions.
