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报告题目:Insurance portfolio and investment-consumption for individuals with an uncovered risk

报告专家:周明 教授(中国人民大学)

报告时间:2023年6月12日(周二)19:00-20:00

报告地点:腾讯会议(ID:259-632-884)

主办单位:十大现金买球公司

报告摘要:The optimal investment-consumption and insurance problem has been extensively studied in the past decades. In general, either life insurance or property insurance is separately investigated with regard to the investment-consumption problem for individuals. In this paper, we propose a continuous-time model in which life insurance and property insurance are incorporated at the same time together with the investment-consumption problem. It is assumed that an individual is exposed to a series of accident risks which could lead to complete loss of wealth accompanied by a potential loss of life with a positive probability each time. Furthermore, in addition to these accident risks, the individual’s future lifetime is subject to natural death. The individual manages the risks through life insurance and property insurance, however, the life insurance policy only includes coverage for natural death; accidental death is excluded. The individual’s objective is to maximize their total discounted utilities, which includes consumption, bequest, and terminal wealth at retirement. They aim to achieve this goal by selecting an investment-consumption and insurance portfolio. The value function and optimal policies are explicitly derived for the constant relative risk aversion (CRRA) utility case. The results demonstrate that, under the expected value premium principle, the optimal property insurance is proportional. Moreover, optimal policies are influenced significantly by both utility preference and accidental death, and the optimal life insurance strategy can perfectly explain the demand for reverse life insurance in the absence of bequest motivation. Finally, we present some numerical analysis to display the impact of parameters on the optimal strategies.

专家简介:周明,中国人民大学统计学院风险管理与精算系教授、博士研究生导师,青年杰出学者,北美准精算师(ASA),中国精算师协会正会员。现为中国精算师协会理事、教育考试委员会委员;北美精算师协会中国教学小组组长;感兴趣的研究领域包括保险风险分析与决策、家庭投资消费与保险需求等。在国内外期刊发表学术论文40余篇,主持国家、省部级纵向课题和企业横向课题共计10余项。

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