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https://doi.org/10.1016/j.insmatheco.2017.11.006

has been cited by the following article:

• TITLE: Optimal Investment Problem for Life Insurance Company by Considering Health-Level

  AUTHORS: Jiachen Chen, Ximin Rong, Hui Zhao

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

  JOURNAL NAME: Modern Economy, Vol.10 No.4, April 9, 2019

  ABSTRACT: 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.