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Life insurance and pension contracts II : the life cycle model with recursive utility

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<title>Life insurance and pension contracts II</title>
<subTitle>: the life cycle model with recursive utility</subTitle>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080059958">
<namePart>Aase, Knut K.</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Knunt K. Aase</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552114">
<topic>Pensiones</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592455">
<topic>Planes de pensiones</topic>
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<topic>Fondos de pensiones</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080580377">
<topic>Esperanza de vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604202">
<topic>Teoría de la utilidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080615130">
<topic>Relación costo-beneficio</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080596316">
<topic>Equilibrio económico</topic>
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<classification authority="">6</classification>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 71-102</text>
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