国家风险规避下的最优消费、投资和保险

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2023-01-01 DOI:10.1017/asb.2022.25

Mogens Steffensen, Julie Søe

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引用次数: 1

摘要

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。

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

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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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.