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Life insurance and pension contracts II : the life cycle model with recursive utility
Recurso electrónico / Electronic resource
MAP20160023855
Aase, Knut K. ‌
Life insurance and pension contracts II : the life cycle model with recursive utility / Knunt K. Aase
Sumario: This article analyzes optimal consumption and pension insurance during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The relationship between substitution of consumption and risk aversion is highlighted, and clarified by the introduction of this type of preferences. This illustrates how recursive utility can be used to explain the empirical consumption puzzle for aggregates. This indicates a plausible choice for the parameters of the utility function, relevant for the consumer in the life cycle model. Optimal life insurance is considered, as well as the portfolio choice problem related to optimal exposures in risky securities
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 71-102
1. Pensiones ‌. 2. Planes de pensiones ‌. 3. Fondos de pensiones ‌. 4. Seguro de vida ‌. 5. Matemática del seguro ‌. 6. Cálculo actuarial ‌. 7. Esperanza de vida ‌. 8. Teoría de la utilidad ‌. 9. Relación costo-beneficio ‌. 10. Equilibrio económico ‌. I. Título.