报 告 人：朱诗浩 德国乌尔姆大学保险精算研究所 博士后

报告时间：2024.09.11（周三） 10:00-11:00

报告地点：华球体育_华球(中国)公司金融工程研究中心 览秀楼105学术报告厅

报告摘要：This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework. A key aspect of our study involves the agent’s option to choose when to acquire life insurance for bequest purposes. We examine two scenarios: one with a fixed bequest amount and another with a controlled bequest amount. Applying duality theory and addressing free-boundary problems, we analytically solve both cases, and provide explicit expressions for value functions and optimal strategies in both cases. In the first scenario, where the bequest amount is fixed, distinct outcomes emerge based on different levels of risk aversion parameter γ: (i) the optimal time for life insurance purchase occurs when the agent’s wealth surpasses a critical threshold if γ ∈ (0,1), or (ii) life insurance should be acquired immediately if γ > 1. In contrast, in the second scenario with a controlled bequest amount, regardless of γ values, immediate life insurance purchase proves to be optimal.

个人简介： 朱诗浩，德国乌尔姆大学保险精算研究所博士后。在此之前，他在德国比勒费尔德大学数学经济学中心（IMW）获得博士学位。2020年在山东大学数学学院获得硕士学位，2017年在吉林大学获得统计学学士学位。他的研究兴趣主要集中在金融和精算数学领域。他目前的研究方向是随机控制、最优停止理论及其在金融、保险等领域的应用。