报告题目：Optimal Consumption-Investment and Life Insurance Purchase for a Couple with Correlated Lifetimes

报告人：危佳钦(华东师范大学)

报告时间：2019.06.06 （周四）10:00

报告地点：SA210

摘要：

In this talk, we consider an optimization problem for a couple of two wage earners who choose the optimal consumption, investment and life insurance purchasing strategies to maximize the family objective until retirement. We assume that the two wage earners have correlated lifetimes, which are modelled by both copula and common shock models. In copula model and a special case of the common shock model, we obtain closed-form solutions of optimal strategies and value functions for power utility function. We also provide some numerical examples to illustrate our results.