Data from Tsinghua University Provide New Insights into Insurance Economics (Optimal mean-variance efficiency of a family with life insurance under…

Investment Weekly News

Data from Tsinghua University Provide New Insights into Insurance Economics (Optimal mean-variance efficiency of a family with life insurance under inflation risk)

By a News Reporter-Staff News Editor at Investment Weekly News -- Fresh data on Economics - Insurance Economics are presented in a new report. According to news originating from Beijing, People's Republic of China, by VerticalNews correspondents, research stated, "We study an optimization problem of a family under mean-variance efficiency. The market consists of cash, a zero-coupon bond, an inflation-indexed zero-coupon bond, a stock, life insurance and income replacement insurance."

Our news journalists obtained a quote from the research from Tsinghua University, "The instantaneous interest rate is modeled as the Cox-Ingersoll-Ross (CIR) model, and we use a generalized Black-Scholes model to characterize the stock and labor income. We also take into account the inflation risk and consider our problem in the real market. The goal of the family is to maximize the mean of the surplus wealth at the retirement or death of the breadwinner and minimize its variance by finding a portfolio selection. The efficient frontier and optimal strategies are derived through the dynamic programming method and the technique of solving associated nonlinear HJB equations."

According to the news editors, the research concluded: "We also present a numerical illustration to explore the impact of economical parameters on the efficient frontier."

For more information on this research see: Optimal mean-variance efficiency of a family with life insurance under inflation risk. Insurance Mathematics & Economics, 2016;71():164-178. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news correspondents report that additional information may be obtained from Z.X. Liang, Tsinghua Univ, Dept. of Math Sci, Beijing 100084, People's Republic of China.

Keywords for this news article include: Beijing, People's Republic of China, Asia, Insurance Economics, Economics, Finance and Investment, Insurance Companies, Tsinghua University.