Multi-period optimization model for a household, and optimal insurance design

Research output: Contribution to journalArticle

Abstract

We discuss an optimization model to obtain an optimal investment and insurance strategy for a household. In this paper, we extend the studies in Hibiki and Komoribayashi (2006). We introduce the following points, and examine the model with numerical examples. 1 We consider cash flow due to a serious disease and involve medical insurance. 2 An optimization model is formulated with term life insurance which variable insurance money is received. 3 We propose a model to decide optimal life and medical insurance money received at each time. 4 Sampling error is examined with 100 kinds of 5,000 sample paths.

Original languageEnglish
Pages (from-to)463-487
Number of pages25
JournalJournal of the Operations Research Society of Japan
Volume50
Issue number4
Publication statusPublished - 2007 Dec

Fingerprint

Life insurance
Optimal insurance
Optimization model
Household
Medical insurance
Sampling
Insurance
Optimal investment
Cash flow

Keywords

  • Finance
  • Financial planning
  • Insurance design
  • Investment and insurance strategy
  • Multi-period optimization

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Decision Sciences(all)

Cite this

Multi-period optimization model for a household, and optimal insurance design. / Hibiki, Norio.

In: Journal of the Operations Research Society of Japan, Vol. 50, No. 4, 12.2007, p. 463-487.

Research output: Contribution to journalArticle

@article{bbea4106d8f14e7597dbe743e43c0f2b,
title = "Multi-period optimization model for a household, and optimal insurance design",
abstract = "We discuss an optimization model to obtain an optimal investment and insurance strategy for a household. In this paper, we extend the studies in Hibiki and Komoribayashi (2006). We introduce the following points, and examine the model with numerical examples. 1 We consider cash flow due to a serious disease and involve medical insurance. 2 An optimization model is formulated with term life insurance which variable insurance money is received. 3 We propose a model to decide optimal life and medical insurance money received at each time. 4 Sampling error is examined with 100 kinds of 5,000 sample paths.",
keywords = "Finance, Financial planning, Insurance design, Investment and insurance strategy, Multi-period optimization",
author = "Norio Hibiki",
year = "2007",
month = "12",
language = "English",
volume = "50",
pages = "463--487",
journal = "Journal of the Operations Research Society of Japan",
issn = "0453-4514",
publisher = "Operations Research Society of Japan",
number = "4",

}

TY - JOUR

T1 - Multi-period optimization model for a household, and optimal insurance design

AU - Hibiki, Norio

PY - 2007/12

Y1 - 2007/12

N2 - We discuss an optimization model to obtain an optimal investment and insurance strategy for a household. In this paper, we extend the studies in Hibiki and Komoribayashi (2006). We introduce the following points, and examine the model with numerical examples. 1 We consider cash flow due to a serious disease and involve medical insurance. 2 An optimization model is formulated with term life insurance which variable insurance money is received. 3 We propose a model to decide optimal life and medical insurance money received at each time. 4 Sampling error is examined with 100 kinds of 5,000 sample paths.

AB - We discuss an optimization model to obtain an optimal investment and insurance strategy for a household. In this paper, we extend the studies in Hibiki and Komoribayashi (2006). We introduce the following points, and examine the model with numerical examples. 1 We consider cash flow due to a serious disease and involve medical insurance. 2 An optimization model is formulated with term life insurance which variable insurance money is received. 3 We propose a model to decide optimal life and medical insurance money received at each time. 4 Sampling error is examined with 100 kinds of 5,000 sample paths.

KW - Finance

KW - Financial planning

KW - Insurance design

KW - Investment and insurance strategy

KW - Multi-period optimization

UR - http://www.scopus.com/inward/record.url?scp=39649096271&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=39649096271&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:39649096271

VL - 50

SP - 463

EP - 487

JO - Journal of the Operations Research Society of Japan

JF - Journal of the Operations Research Society of Japan

SN - 0453-4514

IS - 4

ER -