健康冲击风险下具有消费习惯的家庭最优投资、消费与寿险决策
Optimal investment, consumption and life insurance decisions for households with consumption habits under the health shock risk
AI总结：
本文针对健康冲击风险下的家庭决策问题，用非齐次马尔可夫过程建模经济支柱健康状态，结合消费习惯理论求解HJB方程得到最优策略，发现健康冲击负向影响投资消费、消费习惯提升预防性储蓄倾向。
摘要：
本文研究健康冲击风险影响下家庭的最优投资、消费与寿险策略。考虑家庭成员未来健康状态的不确定性，采用非齐次马尔可夫过程对家庭经济支柱的健康状态建模。基于习惯形成理论，探究不同消费习惯对家庭投资、消费及寿险策略的影响。根据经济支柱是否存活，分别构建并求解经济支柱存活与死亡两种场景下对应的汉密尔顿-雅可比-贝尔曼（HJB）方程，得到最优投资、消费与寿险策略的显式表达式。通过敏感性分析表明，家庭内部健康冲击的存在对投资与消费决策存在负面影响，而消费习惯的形成会提升家庭的预防性储蓄倾向。
英文摘要：
This paper investigates the optimal investment, consumption, and life insurance strategies for households under the impact of health shock risk. Considering the uncertainty of the future health status of family members, a non-homogeneous Markov process is used to model the health status of the breadwinner. Drawing upon the theory of habit formation, we investigate the influence of different consumption habits on households' investment, consumption, and life insurance strategies. Based on whether the breadwinner is alive or not, we formulate and solve the corresponding Hamilton-Jacobi-Bellman (HJB) equations for the two scenarios of breadwinner survival and breadwinner's demise, respectively, and obtain explicit expressions for the optimal investment, consumption, and life insurance strategies. Through sensitivity analysis, it has been shown that the presence of health shocks within households has a negative impact on investment and consumption decisions, while the formation of consumption habits increases household propensity for precautionary savings.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
