报告题目：Optimal consumption-investment and life insurance demand with progressive estate taxation
时 间：2026年4月11日（星期六）09：30
地 点：科研楼18号楼1102
主 办：数学与统计学院，分析数学及应用教育部重点实验室，福建省分析数学及应用重点实验室
参加对象：相关专业师生
报告摘要：This paper investigates optimal lifetime consumption, investment, and life insurance decisions in a continuous framework. We incorporate a progressive estate tax and a tax-exempt life insurance market, which leads to the non-differentiability of the utility function for bequest at the $n$-th tax tier threshold. Progressive estate taxation together with a tax-exempt life insurance market introduces nonlinearity in the relationship between wealth and life insurance proceeds, thereby rendering the elegant martingale and duality methods inapplicable. Consequently, we employ the Legendre transform to derive explicit expressions for the optimal strategies. Our analysis reveals that the estate tax reduces the incentive to save while increasing the demand for life insurance, as life insurance serves as an alternative to direct inheritance for intergenerational wealth transfer. Most notably, the estate tax exerts a dual effect on consumption and investment, driven by both substitution and income effects. Specifically, the estate tax stimulates consumption and reduces investment for agents with high elasticity of intertemporal substitution (EIS), whereas it suppresses consumption and incentivizes investment for those with low EIS.
报告人简介：周明，中国人民大学教授，博士生导师，北美准精算师，中国精算师协会正会员。兼任中国精算师协会理事、教育考试委员会委员。主要研究方向为量化风险管理与精算、金融与保险中的随机控制与优化。在国内外学术期刊发表论文50余篇，主持国家、省部级课题和企业委托课题共计10余项。