本文主要研究内容
作者杨晓滕（2019）在《含有违约风险的人寿保险最优策略问题研究》一文中研究指出：随着我国经济的繁荣发展,越来越多的家庭开始考虑购买保险.保险不仅能够保障家庭财产意外损失带来的风险,而且具有储蓄、投资的功能.由于当前经济快速发展,金融市场上越来越多的投资工具都会受到违约风险的影响,如:可违约债券及各种信用衍生产品.因此考虑存在违约债券的人寿保险及家庭投资消费问题是必要的且具有现实意义.本文假定投资者可投资于银行存款、股票和含违约风险的债券,基于动态连续时间金融理论,分别在固定利率和随机利率下,研究了家庭的最优投资消费策略与人寿保险购买问题.采用效用函数最大化来建立模型,通过随机控制和动态规划的方法对模型进行求解,从而得到方程解析解,最后通过数值分析讨论家庭消费权重对最优策略的影响.本文做了如下研究:首先,研究了固定利率下含有违约风险的人寿保险问题.本章假设投资者可以投资于银行存款、股票和含有违约风险的债券,在简约化模型的框架下,研究了家庭的最优消费及人寿保险购买问题.运用示性函数对可违约债券的违约风险进行了刻画,推导出HJB方程.通过随机控制方法对相应方程进行求解,从而得到当可违约债券发生违约和不发生违约时对应的方程解析解及最优策略.研究结果表明,随着跳跃风险的引入,投资者的投资策略不再是关于投资时刻t的连续函数,最后通过数值分析讨论家庭消费权重对最优策略的影响.其次,研究了随机利率下含有违约风险的人寿保险问题.本章假设市场中可用于投资的有三部分资产:一是银行存款、二是风险资产、三是含有违约风险的债券.由于人寿保险合同往往持续很长时间,投资者需要考虑利率风险.因此,本章假设利率和信用利差都服从CIR模型,这样保证利率和信用利差都取正值.由于投资者会获得工作收入,因此,模型中假设投资者的工作收入为定值.采用效用函数最大化来建立模型,在求解HJB方程时,将非齐次微分方程转化为齐次微分方程.在假设金融市场完备的前提下,通过动态规划原理的方法对相应方程进行求解,从而得到方程解析解和最优策略.最后,研究了随机工资情况下,含有违约风险的人寿保险问题.本章在CRRA效用下建立模型,假定金融市场由银行存款、股票、和含有违约风险的债券组成,分析家庭的消费、保险的购买和金融资产配置之间的关系.由于人寿保险合同往往持续很长时间,投资者需要考虑利率风险.因此,本章运用V asicek模型刻画利率和信用利差.又因为投保人会有工作收入,而收入会随着金融市场的波动而变化.因此,用Black-Scholes模型刻画投资者的随机收入,且假设收入的增长和利率存在协整关系.在求解HJB方程时,将非齐次微分方程转化为齐次微分方程.运用动态规划原理的方法求出方程显式最优解,从而得到财富效用最大化的最优策略,最后通过数值分析讨论家庭消费权重对最优策略的影响.
Abstract
sui zhao wo guo jing ji de fan rong fa zhan ,yue lai yue duo de jia ting kai shi kao lv gou mai bao xian .bao xian bu jin neng gou bao zhang jia ting cai chan yi wai sun shi dai lai de feng xian ,er ju ju you chu xu 、tou zi de gong neng .you yu dang qian jing ji kuai su fa zhan ,jin rong shi chang shang yue lai yue duo de tou zi gong ju dou hui shou dao wei yao feng xian de ying xiang ,ru :ke wei yao zhai quan ji ge chong xin yong yan sheng chan pin .yin ci kao lv cun zai wei yao zhai quan de ren shou bao xian ji jia ting tou zi xiao fei wen ti shi bi yao de ju ju you xian shi yi yi .ben wen jia ding tou zi zhe ke tou zi yu yin hang cun kuan 、gu piao he han wei yao feng xian de zhai quan ,ji yu dong tai lian xu shi jian jin rong li lun ,fen bie zai gu ding li lv he sui ji li lv xia ,yan jiu le jia ting de zui you tou zi xiao fei ce lve yu ren shou bao xian gou mai wen ti .cai yong xiao yong han shu zui da hua lai jian li mo xing ,tong guo sui ji kong zhi he dong tai gui hua de fang fa dui mo xing jin hang qiu jie ,cong er de dao fang cheng jie xi jie ,zui hou tong guo shu zhi fen xi tao lun jia ting xiao fei quan chong dui zui you ce lve de ying xiang .ben wen zuo le ru xia yan jiu :shou xian ,yan jiu le gu ding li lv xia han you wei yao feng xian de ren shou bao xian wen ti .ben zhang jia she tou zi zhe ke yi tou zi yu yin hang cun kuan 、gu piao he han you wei yao feng xian de zhai quan ,zai jian yao hua mo xing de kuang jia xia ,yan jiu le jia ting de zui you xiao fei ji ren shou bao xian gou mai wen ti .yun yong shi xing han shu dui ke wei yao zhai quan de wei yao feng xian jin hang le ke hua ,tui dao chu HJBfang cheng .tong guo sui ji kong zhi fang fa dui xiang ying fang cheng jin hang qiu jie ,cong er de dao dang ke wei yao zhai quan fa sheng wei yao he bu fa sheng wei yao shi dui ying de fang cheng jie xi jie ji zui you ce lve .yan jiu jie guo biao ming ,sui zhao tiao yue feng xian de yin ru ,tou zi zhe de tou zi ce lve bu zai shi guan yu tou zi shi ke tde lian xu han shu ,zui hou tong guo shu zhi fen xi tao lun jia ting xiao fei quan chong dui zui you ce lve de ying xiang .ji ci ,yan jiu le sui ji li lv xia han you wei yao feng xian de ren shou bao xian wen ti .ben zhang jia she shi chang zhong ke yong yu tou zi de you san bu fen zi chan :yi shi yin hang cun kuan 、er shi feng xian zi chan 、san shi han you wei yao feng xian de zhai quan .you yu ren shou bao xian ge tong wang wang chi xu hen chang shi jian ,tou zi zhe xu yao kao lv li lv feng xian .yin ci ,ben zhang jia she li lv he xin yong li cha dou fu cong CIRmo xing ,zhe yang bao zheng li lv he xin yong li cha dou qu zheng zhi .you yu tou zi zhe hui huo de gong zuo shou ru ,yin ci ,mo xing zhong jia she tou zi zhe de gong zuo shou ru wei ding zhi .cai yong xiao yong han shu zui da hua lai jian li mo xing ,zai qiu jie HJBfang cheng shi ,jiang fei ji ci wei fen fang cheng zhuai hua wei ji ci wei fen fang cheng .zai jia she jin rong shi chang wan bei de qian di xia ,tong guo dong tai gui hua yuan li de fang fa dui xiang ying fang cheng jin hang qiu jie ,cong er de dao fang cheng jie xi jie he zui you ce lve .zui hou ,yan jiu le sui ji gong zi qing kuang xia ,han you wei yao feng xian de ren shou bao xian wen ti .ben zhang zai CRRAxiao yong xia jian li mo xing ,jia ding jin rong shi chang you yin hang cun kuan 、gu piao 、he han you wei yao feng xian de zhai quan zu cheng ,fen xi jia ting de xiao fei 、bao xian de gou mai he jin rong zi chan pei zhi zhi jian de guan ji .you yu ren shou bao xian ge tong wang wang chi xu hen chang shi jian ,tou zi zhe xu yao kao lv li lv feng xian .yin ci ,ben zhang yun yong V asicekmo xing ke hua li lv he xin yong li cha .you yin wei tou bao ren hui you gong zuo shou ru ,er shou ru hui sui zhao jin rong shi chang de bo dong er bian hua .yin ci ,yong Black-Scholesmo xing ke hua tou zi zhe de sui ji shou ru ,ju jia she shou ru de zeng chang he li lv cun zai xie zheng guan ji .zai qiu jie HJBfang cheng shi ,jiang fei ji ci wei fen fang cheng zhuai hua wei ji ci wei fen fang cheng .yun yong dong tai gui hua yuan li de fang fa qiu chu fang cheng xian shi zui you jie ,cong er de dao cai fu xiao yong zui da hua de zui you ce lve ,zui hou tong guo shu zhi fen xi tao lun jia ting xiao fei quan chong dui zui you ce lve de ying xiang .
论文参考文献
论文详细介绍
论文作者分别是来自上海师范大学的杨晓滕，发表于刊物上海师范大学2019-06-17论文，是一篇关于人寿保险论文,最优投资论文,消费论文,动态规划原理论文,方程论文,违约风险债券论文,上海师范大学2019-06-17论文的文章。本文可供学术参考使用，各位学者可以免费参考阅读下载，文章观点不代表本站观点，资料来自上海师范大学2019-06-17论文网站，若本站收录的文献无意侵犯了您的著作版权，请联系我们删除。
标签：人寿保险论文; 最优投资论文; 消费论文; 动态规划原理论文; 方程论文; 违约风险债券论文; 上海师范大学2019-06-17论文;