Consumption, investment and life insurance strategies with heterogeneous discounting

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<title>Consumption, investment and life insurance strategies with heterogeneous discounting</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140005789">
<namePart>Paz,  Albert de</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Albert de-Paz...[et.al]</note>
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<topic>Seguro de vida</topic>
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<topic>Modelos matemáticos</topic>
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<topic>Matemática del seguro</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>13/01/2014 Volumen 54 Número 1 - enero 2014 , p. 66-75</text>
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