Optimal individual health insurance strategy combined investment, consumption, income and public insurance

In this paper, we investigate the optimal investment, consumption, and insurance problem for the policyholder who participates in a type of practical hybrid insurance to mitigate the tail risks of disease expenditures, complementing public health insurance. The policyholder invests with jumps, and the consumption process is also incorporated into the personal health insurance model, which is supported by a salary income and initial assets. By employing a stochastic optimal control framework, we explicitly derive both the optimal strategy and its corresponding value function. Moreover, a verification theorem is established, and the characteristics of the optimal strategy are analyzed. Lastly, a numerical example is provided to demonstrate how the model parameters affect both the optimal strategy and the value function.

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Publication Details

Journal
Journal of Industrial and Management Optimization
Published
2025-01-01
DOI
https://doi.org/10.3934/jimo.2025108
Primary Topic
Healthcare Policy and Management
Type
article
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article

Optimal individual health insurance strategy combined investment, consumption, income and public insurance

Linyi Qian, Chen Lv, Kun Fan, Danping Li et al.
Journal of Industrial and Management Optimization
Healthcare Policy and Management
article

Optimal individual health insurance strategy combined investment, consumption, income and public insurance

Linyi Qian, Chen Lv, Kun Fan, Danping Li, Dongchen Li
article en

Abstract

In this paper, we investigate the optimal investment, consumption, and insurance problem for the policyholder who participates in a type of practical hybrid insurance to mitigate the tail risks of disease expenditures, complementing public health insurance. The policyholder invests with jumps, and the consumption process is also incorporated into the personal health insurance model, which is supported by a salary income and initial assets. By employing a stochastic optimal control framework, we explicitly derive both the optimal strategy and its corresponding value function. Moreover, a verification theorem is established, and the characteristics of the optimal strategy are analyzed. Lastly, a numerical example is provided to demonstrate how the model parameters affect both the optimal strategy and the value function.

Journal of Industrial and Management OptimizationVol. 21(9)
East China Normal University (CN)
Decent work and economic growth
Openalex Percentile: Top 78%
Healthcare Policy and Management
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Optimal individual health insurance strategy combined investment, consumption, income and public insurance — Linyi Qian, Chen Lv, et al. · Journal of Industrial and Management Optimization (2025) | TGRS Research Map | TGRS