Optimal consumption and investment problem incorporating housing and life insurance decisions : the continuous time case

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<rdf:Description>
<dc:creator>King, Ko-Lun</dc:creator>
<dc:creator>Yang, Shang-Yin</dc:creator>
<dc:date>2020-03-02</dc:date>
<dc:description xml:lang="es">Sumario: This 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/170986.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Demanda de seguros</dc:subject>
<dc:subject xml:lang="es">Ahorro financiero familiar</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Tasas de interés</dc:subject>
<dc:subject xml:lang="es">Reducción de riesgos</dc:subject>
<dc:subject xml:lang="es">Inversiones</dc:subject>
<dc:subject xml:lang="es">Procesos estocásticos</dc:subject>
<dc:subject xml:lang="es">Taiwan</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal consumption and investment problem incorporating housing and life insurance decisions : the continuous time case</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 02/03/2020 Volumen 87 Número 1 - marzo 2020 , p. 143-171</dc:relation>
<dc:coverage xml:lang="es">Taiwan</dc:coverage>
</rdf:Description>
</rdf:RDF>