Optimal life insurance with no-borrowing constraints: duality approach and example

doi:10.1080/03461238.2015.1025822

CORC > 上海财经大学 > 上海财经大学

	Optimal life insurance with no-borrowing constraints: duality approach and example
	Zeng, Xudong 1; Carson, James M.2; Chen, Qihong 3; Wang, Yuling 1
刊名	SCANDINAVIAN ACTUARIAL JOURNAL
	2016
期号	9 页码:793-816
关键词	portfolio choice constraint life insurance martingale duality approach D91 G11
ISSN号	0346-1238
DOI	10.1080/03461238.2015.1025822
英文摘要	We solve an optimal portfolio choice problem under a no-borrowing assumption. A duality approach is applied to study a family's optimal consumption, optimal portfolio choice, and optimal life insurance purchase when the family receives labor income that may be terminated due to the wage earner's premature death or retirement. We establish the existence of an optimal solution to the optimization problem theoretically by the duality approach and we provide an explicitly solved example with numerical illustration. Our results illustrate that the no-borrowing constraints do not always impact the family's optimal decisions on consumption, portfolio choice, and life insurance. When the constraints are binding, there must exist a wealth depletion time (WDT) prior to the retirement date, and the constraints indeed reduce the optimal consumption and the life insurance purchase at the beginning of time. However, the optimal consumption under the constraints will become larger than that without the constraints at some time later than the WDT.
WOS研究方向	Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000385624700002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1380]
专题	上海财经大学
通讯作者	Wang, Yuling
作者单位	1.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China; 2.Univ Georgia, Terry Coll Business, Athens, GA 30602 USA; 3.Shanghai Univ Finance & Econ, Dept Math, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Zeng, Xudong,Carson, James M.,Chen, Qihong,et al. Optimal life insurance with no-borrowing constraints: duality approach and example[J]. SCANDINAVIAN ACTUARIAL JOURNAL,2016(9):793-816.
APA	Zeng, Xudong,Carson, James M.,Chen, Qihong,&Wang, Yuling.(2016).Optimal life insurance with no-borrowing constraints: duality approach and example.SCANDINAVIAN ACTUARIAL JOURNAL(9),793-816.
MLA	Zeng, Xudong,et al."Optimal life insurance with no-borrowing constraints: duality approach and example".SCANDINAVIAN ACTUARIAL JOURNAL .9(2016):793-816.