人寿保险购买及带交易费最优消费投资模型

Optimal life insurance purchase,consumption and portfolio model with transaction costs

研究了在不确定寿命下,投资者在连续时间内如何购买人寿保险,并进行最优投资消费的问题.利用动态规划原理,得到了关于人寿保险购买、消费及投资策略的HJB方程,并证明了值函数的连续性和凹性.最后借助于粘性解理论,证明了值函数是对应HJB方程的唯一粘性解.

We study the optimal life insurance purchase,consumption and portfolio problem for the investors under an uncertain lifetime in the continuous time.By using the dynamic programming principle,we get the HJB equation on life insurance purchase,consumption and investment strategies,and prove the continuity and concavity of the value function.Finally with the help of the viscosity solutions theory,we prove that the value function is the only viscosity solution of corresponding HJB equation.