Dynamic portfolio choice with stochastic wage and life insurance

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<dc:creator>Zeng, Xudong</dc:creator>
<dc:creator>Wang, Yuling</dc:creator>
<dc:creator>Carson, James M.</dc:creator>
<dc:date>2015-12-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/155296.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Capitales</dc:subject>
<dc:subject xml:lang="es">Familias</dc:subject>
<dc:subject xml:lang="es">Procesos estocásticos</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Dynamic portfolio choice with stochastic wage and life insurance</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/12/2015 Tomo 19 Número 4 - 2015 , p. 256-272</dc:relation>
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