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

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-01-01 DOI:10.1017/asb.2022.25

Mogens Steffensen, Julie Søe

引用次数: 1

Abstract

Abstract 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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国家风险规避下的最优消费、投资和保险

摘要:我们将消费-投资-保险问题形式化，并区分了依赖于国家的相对风险厌恶。状态依赖是指有限状态马尔可夫链的状态，它也形式化了健康和寿命不确定性等可保险风险。我们推导并分析了问题的隐式解决方案，将其与文献中的特殊情况进行比较，并说明了残疾模型的结果范围，其中相对风险厌恶在残疾时保留，减少或增加。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.