کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076653 1477217 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Explicit solutions of optimal consumption, investment and insurance problems with regime switching
ترجمه فارسی عنوان
راه حل های صریح مصرف مطلوب، سرمایه گذاری و مشکلات بیمه با تغییر رژیم
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We consider an investor who wants to select his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial market but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize his expected total discounted utility of consumption over an infinite time horizon. For the case of hyperbolic absolute risk aversion (HARA) utility functions, we obtain the first explicit solutions for simultaneous optimal consumption, investment, and insurance problems when there is regime switching. We determine that the optimal insurance contract is either no-insurance or deductible insurance, and calculate when it is optimal to buy insurance. The optimal policy depends strongly on the regime of the economy. Through an economic analysis, we calculate the advantage of buying insurance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 159-167
نویسندگان
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