Optimal consumption, investment, and insurance under state-dependent risk aversion

被引：4
|
作者：
Steffensen, Mogens [1 ]
Soe, Julie Bjorner [1 ,2 ]
机构：
[1] Univ Copenhagen, Dept Math Sci, Univ Pk 5, DK-2100 Copenhagen, Denmark
[2] Mancofi AS, Carl Jacobsens Vej 20, DK-2500 Copenhagen, Denmark
来源：
ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION | 2023年 / 53卷 / 01期
关键词：
Multistate models; the disability model; state-dependent utility; Hamilton-Jacobi-Bellman equation; LIFE-INSURANCE; STRATEGY;
D O I：
10.1017/asb.2022.25
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We formalize a consumption-investment-insurance problem with the distinction of a state-dependent relative risk aversion. The state dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and analyze the implicit solution to the problem, compare it with special cases in the literature, and illustrate the range of results in a disability model where the relative risk aversion is preserved, decreases, or increases upon disability.
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页码：104 / 128
页数：25
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