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

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  • 1. School of Finance, Nanjing University of Finance  & Economics, Nanjing 210023, China

Received date: 2017-06-21

  Online published: 2018-12-15

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.

Cite this article

GUO Wenjing, LI Xiaojun . Optimal consumption-investment-insurance purchase strategy under the condition of stochastic interest rate[J]. Operations Research Transactions, 2018 , 22(4) : 31 -44 . DOI: 10.15960/j.cnki.issn.1007-6093.2018.04.003

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