英文标题：
《Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming》
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作者：
Erhan Bayraktar, David Promislow, Virginia Young
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最新提交年份：
2016
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英文摘要：
  We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend Bayraktar and Young (2015) by allowing the individual to purchase term life insurance to reach her bequest goal. The premium rate for life insurance, $h$, serves as a parameter to connect two seemingly unrelated problems. As the premium rate approaches $0$, covering the bequest goal becomes costless, so the individual simply wants to avoid ruin that might result from her consumption. Thus, as $h$ approaches $0$, the problem in this paper becomes equivalent to minimizing the probability of lifetime ruin, which is solved in Young (2004). On the other hand, as the premium rate becomes arbitrarily large, the individual will not buy life insurance to reach her bequest goal. Thus, as $h$ approaches infinity, the problem in this paper becomes equivalent to maximizing the probability of reaching the bequest goal when life insurance is not available in the market, which is solved in Bayraktar and Young (2015).
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中文摘要：
我们确定购买定期人寿保险和投资风险金融市场的最佳策略，以最大限度地提高从投资账户消费时达到遗赠目标的概率。我们延长了Bayraktar and Young（2015），允许个人购买定期人寿保险，以实现她的遗赠目标。人寿保险的保费率为$h$，它是连接两个看似无关的问题的参数。当保险费率接近0美元时，覆盖遗产目标的成本就会降低，因此个人只想避免因消费而导致的破产。因此，当$h$接近$0$时，本文中的问题等价于最小化终身破产概率，这在Young（2004）中得到了解决。另一方面，由于保费率变得任意大，个人将不会购买人寿保险来实现她的遗赠目标。因此，随着$h$接近无穷大，本文中的问题相当于在市场上没有人寿保险的情况下，最大化实现遗赠目标的概率，这在Bayraktar and Young（2015）中得到了解决。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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