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Dynamic portfolio choice with stochastic wage and life insurance
Recurso electrónico / Electronic Resource
MAP20160004953
Zeng, Xudong ‌
Dynamic portfolio choice with stochastic wage and life insurance / Xudong Zeng, Yuling Wang, James M. Carson
Sumario: We study optimal insurance, consumption, and portfolio choice in a framework where a family purchases life insurance to protect the loss of the wage earner's human capital. Explicit solutions are obtained by employing constant absolute risk aversion utility functions. We show that the optimal life insurance purchase is not a monotonic function of the correlation between the wage and the financial market. Meanwhile, the life insurance decision is explicitly affected by the family's risk preferences in general. The model also predicts that a family uses life insurance and investment portfolio choice to hedge stochastic wage risk
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/12/2015 Tomo 19 Número 4 - 2015 , p. 256-272
1. Seguro de vida ‌. 2. Capitales ‌. 3. Familias ‌. 4. Procesos estocásticos ‌. 5. Matemática del seguro ‌. 6. Modelo estocástico ‌. I. Wang, Yuling ‌. II. Carson, James M. ‌. III. Title.