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Dynamic portfolio choice with stochastic wage and life insurance

Recurso electrónico / Electronic Resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20140000111‎$a‎Zeng, Xudong
24510‎$a‎Dynamic portfolio choice with stochastic wage and life insurance‎$c‎Xudong Zeng, Yuling Wang, James M. Carson
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 4‎$0‎MAPA20080549961‎$a‎Capitales
650 4‎$0‎MAPA20080547233‎$a‎Familias
650 4‎$0‎MAPA20080603120‎$a‎Procesos estocásticos
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
7001 ‎$0‎MAPA20080646806‎$a‎Wang, Yuling
700  ‎$0‎MAPA20080662882‎$a‎Carson, James M.
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/12/2015 Tomo 19 Número 4 - 2015 , p. 256-272