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随机利率条件下最优投资消费与寿险购买策略

郭文旌1,*  李潇俊1   

  1. 1. 南京财经大学金融学院, 南京 210023
  • 收稿日期:2017-06-21 出版日期:2018-12-15 发布日期:2018-12-15
  • 通讯作者: 郭文旌 E-mail: guowenj810919@sina.com
  • 基金资助:

    国家自然科学基金(Nos.71471081, 71501088), 教育部人文社会科学研究规划项目(No.15YJC910008), 江苏省高校自然科学研究面上项目(No.15KJBD110009), 江苏省研究生科研与实践创新计划项目(No.KYCX17_1129), 南京财经大学学位与研究生教育课题(No. Y18005)

Optimal consumption-investment-insurance purchase strategy under the condition of stochastic interest rate

GUO Wenjing1,*  LI Xiaojun1   

  1. 1. School of Finance, Nanjing University of Finance  & Economics, Nanjing 210023, China
  • Received:2017-06-21 Online:2018-12-15 Published:2018-12-15

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摘要：

随着我国利率市场化的深入发展, 利率的随机波动对投资者的最优投资消费策略将产生重要影响. 与此同时, 随着我国寿险市场的渐趋完善, 寿险购买也越来越受到投资者的重视, 投资者的最优策略也将发生改变. 现研究由 Vasicek 模型来刻画的随机利率条件下最优投资消费与寿险购买策略. 投资者的目标在于选择最优投资消费与寿险购买策略使期望效用最大化. 通过运用 Legendre 转换方法求出最优投资消费与寿险购买的显性解. 通过数值分析的方法, 实证分析相关变量的变化对投资者最优投资与寿险购买策略的影响.

关键词: 最优投资消费, 寿险购买, Vasicek 模型, HARA 效用函数, Legendre转换

Abstract:

With the development of interest rate liberalization in China, the stochastic volatility of interest rates will exert significant influence on the investor's optimal investment strategy. Besides, with the improvement of our insurance market, the investor has paid a lot of attention to the life insurance purchase, so the optimal strategy of the investor will change a lot; This paper studies the optimal consumption-investment-insurance purchase strategy under the condition of stochastic interest rate driven by Vasicek Model. The objective of the investor is to maximize the expected discount utility. With the method of Legendre transform, we get the closed-form solution to the optimal consumption-investment-insurance purchase strategy. By means of numerical analysis, the effects of the changes of variables on the optimal portfolio and life insurance strategy are analyzed.

Key words: optimal investment-consumption, insurance purchase, vasicek Model, HARA utility function, legendre transform