Author(s)

Jiachen Chen, Ximin Rong, Hui Zhao

Optimal Investment Problem for Life Insurance Company by Considering Health-Level School of Mathematics, Tianjin University, Tianjin, China.

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.

Health-Level, Investment, Mean-Variance Criterion, Hamilton-Jacobi-Bellman Equation

Chen, J. , Rong, X. and Zhao, H. (2019) Optimal Investment Problem for Life Insurance Company by Considering Health-Level. Modern Economy, 10, 1107-1120. doi: 10.4236/me.2019.104075.