Centro de Documentación de Fundación MAPFRE - Dynamic portfolio choice with stochastic wage and life insurance

Notes: 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.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/12/2015 Tomo 19 Número 4 - 2015 , p. 256-272Materia / lugar / evento: Seguro de vida Capitales Familias Procesos estocásticos Matemática del seguro Modelo estocástico Otros autores: Wang, Yuling
Carson, James M.
Other categories: 6

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