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研究了随机劳动收入下最优消费、投保与资产配置问题.在模型中,投资者购买投资型人寿保险,该保险兼具保障和投资功能.在假定效用函数为CARA函数的情况下,运用贝尔曼动态规划原理求得了模型的解析解,并获得了投资型人寿保险投资的一些重要性质.最后,通过数值模拟分析讨论了绝对风险厌恶系数、随机劳动收入与风险资产以及投资型人寿保险间相关系数变化时最优投保的变化趋势.
We study the optimal consumption, insurance and asset allocation under stochastic labor income.In the model, investors purchase investment-type life insurance, which has the function of guarantee and investment.Under the assumption that the utility function is CARA function, Man dynamic programming theory obtained the analytic solution of the model and obtained some important properties of investment-based life insurance investment.Finally, we discussed the relationship between absolute risk aversion coefficient, random labor income and risky assets and investment-type life insurance through numerical simulation analysis The trend of the optimal insurance when the coefficient changes.