英文标题：
《Optimal Investment-Consumption-Insurance with Durable and Perishable
Consumption Goods in a Jump Diffusion Market》
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作者：
Jin Sun, Ryle S. Perera and Pavel V. Shevchenko
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最新提交年份：
2019
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英文摘要：
We investigate an optimal investment-consumption and optimal level of insurance on durable consumption goods with a positive loading in a continuous-time economy. We assume that the economic agent invests in the financial market and in durable as well as perishable consumption goods to derive utilities from consumption over time in a jump-diffusion market. Assuming that the financial assets and durable consumption goods can be traded without transaction costs, we provide a semi-explicit solution for the optimal insurance coverage for durable goods and financial asset. With transaction costs for trading the durable good proportional to the total value of the durable good, we formulate the agent\'s optimization problem as a combined stochastic and impulse control problem, with an implicit intervention value function. We solve this problem numerically using stopping time iteration, and analyze the numerical results using illustrative examples.
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中文摘要：
我们研究了在连续时间经济中，正负荷耐用消费品的最优投资消费和最优保险水平。我们假设经济主体投资于金融市尝耐用消费品和易腐消费品，以便在跳跃扩散市场中从消费中获得效用。假设金融资产和耐用消费品可以在没有交易成本的情况下进行交易，我们为耐用消费品和金融资产的最优保险范围提供了一个半显式的解决方案。当交易耐用商品的交易成本与耐用商品的总价值成比例时，我们将代理人的优化问题描述为一个结合了随机和脉冲控制的问题，并带有一个隐式的干预值函数。我们用停止时间迭代法数值求解了这个问题，并用实例分析了数值结果。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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