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Optimal Investment Problem for Life Insurance Company by Considering Health-Level
Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
- 1 Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
- 2 Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
- 3 Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China
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Abstract
In this paper, we study the optimal investment strategy for a life insurance company in a health-level framework. The income-levels of residents in different regions are different and this leads to different health-levels for various regions. We present a new framework to study the risk caused by different health-levels. The surplus process of the insurance company is described by the classical Cramér-Lundberg Model. The company is allowed to invest in a risk-free asset and a risky asset. For mean-variance criterion, we establish the corresponding Hamilton-Jacobi-Bellmen (HJB) equations and derive the time-consistent investment strategy. Finally, we provide numerical simulations to analyze the effects of the health-level on the insurer’s value function.
KeywordsHealth-LevelInvestmentMean-Variance CriterionHamilton-Jacobi-Bellman Equation
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