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Consumption, investment and life insurance strategies with heterogeneous discounting
Recurso electrónico / electronic resource
MAP20140006731
Consumption, investment and life insurance strategies with heterogeneous discounting / Albert de-Paz...[et.al]
Sumario: In this paper we analyze how the optimal consumption, investment and life insurance rules are modified by the introduction of a class of time-inconsistent preferences. In particular, we account for the fact that an agent's preferences evolve along the planning horizon according to her increasing concern about the bequest left to her descendants and about her welfare at retirement. To this end, we consider a stochastic continuous time model with random terminal time for an agent with a known distribution of lifetime under heterogeneous discounting. In order to obtain the time-consistent solution, we solve a non-standard dynamic programming equation. For the case of CRRA and CARA utility functions we compare the explicit solutions for the time-inconsistent and the time-consistent agent. The results are illustrated numerically
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 , p. 66-75
1. Seguro de vida ‌. 2. Modelos matemáticos ‌. 3. Matemática del seguro ‌. I. Paz, Albert de ‌.