Optimal consumption and investment problem incorporating housing and life insurance decisions : the continuous time case
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200009344 | ||
| 003 | MAP | ||
| 005 | 20200323164524.0 | ||
| 008 | 200323e20200302usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20200006121$aKing, Ko-Lun | ||
| 245 | 1 | 0 | $aOptimal consumption and investment problem incorporating housing and life insurance decisions$b: the continuous time case$cKo-Lun Kung, Shang-Yin Yang |
| 520 | $aThis study considers the optimal consumption-investment-insurance problem incorporating housing decisions of a household when interest rates and labor income are stochastic. Under the complete market assumption, we derive the closed-form solution of the optimal insurance demand, portfolio choice, and housing consumption. We calibrate the model using data from the financial market of Taiwan. We find that the insurer's pricing strategy has a significant impact on the household's consumption pattern. Specifically, additional loading in insurance premium allows the life-cycle model to produce hump-shaped consumptions of both perishable goods and housing. Loading also creates an unfair background risk to households. However, we only find a small portfolio risk reduction, because households optimally choose a large coverage to mitigate the mortality exposure. This suggests empirical background risk studies overestimate the risk reduction when insurance is available. | ||
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080584580$aDemanda de seguros | |
| 650 | 4 | $0MAPA20080618896$aAhorro financiero familiar | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20080578374$aTasas de interés | |
| 650 | 4 | $0MAPA20080598631$aReducción de riesgos | |
| 650 | 4 | $0MAPA20080558970$aInversiones | |
| 650 | 4 | $0MAPA20080603120$aProcesos estocásticos | |
| 651 | 1 | $0MAPA20120019256$aTaiwan | |
| 700 | 1 | $0MAPA20130004303$aYang, Shang-Yin | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g02/03/2020 Volumen 87 Número 1 - marzo 2020 , p. 143-171 |