School of Mathematical Sciences Academic Lecture [2025] No. 084

(High-Level University Development Series Lecture No. 1106)

Lecture Title: Optimal investment-consumption-insurance strategy for households under health shock risk and subjective health beliefs

Speaker: Prof. Wenyuan Wang, Fujian Normal University

Time: 2025.09.05, 09:00–10:00 AM

Venue: Tencent Meeting 284-365-434

Abstract:
In this talk, we propose an optimal investment, consumption and insurance problem of households under the influence of health shock risks and subjective health beliefs. A non homogeneous Markov process is adopted to model the health status of the wage earner. Under a subjective health belief model, the impact of subjective perceptions about health risks on households' investment, consumption and insurance strategies is explored. The insurance market is enlarged to include basic medical insurance, critical illness insurance, commercial medical insurance and life insurance; and, household wealth under different insurance combinations are compared with each other. Based on optimal control theory, the corresponding Hamilton-Jacobi-Bellman (HJB) equations are established and solved, and explicit expressions for households' optimal investment, consumption and insurance strategies are obtained. The empirical analysis explores the time trend of health status changes. In addition, sensitivity analyses of important parameters show that households holding optimistic health beliefs invest more conservatively and consume more. Health insurance portfolios are more effective in hedging health risks than single coverage.

Lecturer’s Biography:
Prof. Wenyuan Wang, Ph.D., is a Professor, Ph.D. supervisor, and postdoctoral co-advisor at the School of Mathematics and Statistics, Fujian Normal University. His main research areas include actuarial and financial mathematics, probability theory and stochastic processes, and stochastic control and optimization. His current research interests focus on optimal investment problems and stochastic control problems based on machine learning. In recent years, he has published over 50 papers as the first author or corresponding author in leading journals, such as Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, European Actuarial Journal, Mathematics of Operations Research, Applied Mathematics and Optimization, Journal of Optimization Theory and Applications, Journal of Theoretical Probability, Advances in Applied Probability, Journal of Applied Probability, and Extremes. He has presided over four projects funded by the National Natural Science Foundation of China. He has been selected into the Xiamen High-Level Talent Program, the Fujian New Century Excellent Talent Support Program, and the Fujian Normal University High-End Talent Program.

All faculty and students are welcome to attend!

Inviter: Jingchao Li

School of Mathematical Sciences
September 5, 2025