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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.19 No.4
- 발행연도
- 2015.12
- 수록면
- 429 - 441 (13page)
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초록· 키워드
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We study optimal consumption/investment and life insurance purchase rules for a wage earner with mortality risk under regime-switching financial market conditions, in a continuous time-horizon. We apply the Markov chain approximation method and suggest an efficient algorithm using parallel computing to solve the simultaneous Hamilton-Jaccobi-Bellman equations arising from the optimization problem. We provide numerical results under the utility functions of the constant relative risk aversion type, with which we illustrate the effects of regime switching on the optimal policies by comparing them with those in the absence of regime switching.
목차
ABSTRACT
1. INTRODUCTION
2. MODEL SETUP
3. SIMULTANEOUS HAMILTON–JACCOBI–BELLMAN EQUATIONS
4. NUMERICAL METHOD: MARKOV CHAIN APPROXIMATION METHOD
5. NUMERICAL RESULTS
6. CONCLUSION
REFERENCES
참고문헌 (24)
참고문헌 신청
[학술지(정기간행물)] - M.E. Yarri / 1965 / Uncertain lifetime / life insurance and the theory of the consumer Review of Economic Studies 32 : 63 ~ 91
[학술지(정기간행물)] - N. H. Hakansson / 1969 / Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance / International Economic Review 10 (3) : 443 ~ 466
[학술지(정기간행물)] - R.C. Merton / 1969 / Lifetime portfolio selection under uncertainty: the continuous time case / The Review of Economics and Statistics 51 : 247 ~ 257
[학술지(정기간행물)] - R.C. Meron / 1971 / Optimum consumption and portfolio rules in a continuous-time model / Journal of Economic Theory 3 : 373 ~ 413
[학술지(정기간행물)] - S. Richard / 1975 / Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model / Journal of Financial Economics 2 : 187 ~ 203
[학술지(정기간행물)] - N. H. Hakansson / 1969 / Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance / International Economic Review 10 (3) : 443 ~ 466
[학술지(정기간행물)] - R.C. Merton / 1969 / Lifetime portfolio selection under uncertainty: the continuous time case / The Review of Economics and Statistics 51 : 247 ~ 257
[학술지(정기간행물)] - R.C. Meron / 1971 / Optimum consumption and portfolio rules in a continuous-time model / Journal of Economic Theory 3 : 373 ~ 413
[학술지(정기간행물)] - S. Richard / 1975 / Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model / Journal of Financial Economics 2 : 187 ~ 203
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