Abstract
AbstractWe 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference22 articles.
1. On the (in-)dependence between financial and actuarial risks;Dhaene;Insurance: Mathematics and Economics,2017
2. Optimal investment and consumption decision of a family with life insurance;Kwak;Insurance: Mathematics and Economics,2011
3. A preference change and discretionary stopping in a consumption and porfolio selection problem
4. Uncertain Lifetime, Life Insurance, and the Theory of the Consumer
5. Optimum consumption and portfolio rules in a continuous-time model
Cited by
4 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献