题 目：Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity

主讲人：陈志平 教授、博士生导师

时 间：2024年5月25日（星期六）10:00—12:00

地 点：段家滩校区贵和楼408

内 容：We consider the optimal consumption, investment, health insurance and life insurance strategy for a wage earner with smooth ambiguity, habit formation and biometric risks. The individual can invest in the financial market composed of a risk-free asset and a risky asset whose unknown market price results in ambiguity. The habit formation depends on historical consumption and satisfies an ordinary differential equation. Moreover, the biometric risks, which consist of health shock risk and mortality risk, can impact the individual's income and health state. The individual can purchase health insurance and life insurance to respectively deal with health shock risk and mortality risk, and aims at maximizing the total expected utility of consumption, legacy and terminal wealth. Using the dynamic programming technique, we derive the corresponding Hamilton-Jacobi-Bellman equation in the states of health and critical illness respectively, prove the verification theorem and obtain closed-form solutions for the optimal strategies. Finally, numerical experiments are carried out to illustrate the impact of risk aversion, ambiguity aversion, health shock and habit formation on the optimal strategy. The results reveal that the wage earner with different utility functions and different health states will show different behaviors in consumption, investment and insurance purchase.

个人简介：陈志平，西安交通大学二级教授、博士生导师，担任国家天元数学西北中心副主任。他长期从事随机规划理论及其应用、分布鲁棒优化、金融风险度量、保险精算与投资分析等领域的学术研究，在SIAM Journal on Optimization、Mathematics of Operations Research、Journal of Optimization Theory and Applications、European Journal of Operational Research、Journal of Banking＆Finance、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、Scandinavian Actuarial Journal等运筹学、经济与金融领域学术期刊发表SCI（SSCI）检索论文百余篇，取得了一系列高水平的研究成果。主持国家自然科学基金面上项目4项及多项横向项目，现主持国家自然科学基金重大项目课题1项，作为首席科学家，主持科技部重点研发项目1项。现为《OR Spectrum》、《西安交通大学学报》和《工程数学学报》等国内外期刊的编委；现任中国运筹学会常务理事，中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事，中国管理科学与工程学会金融计量与风险管理研究会常务理事，中国管理科学与工程学会理事，中国工业与应用学学会竞赛工作委员会委员等。