Personal finance and life insurance under separation of risk aversion and elasticity of substitution

DOI10.1016/j.insmatheco.2015.02.006zbMath1320.91080OpenAlexW1968844707MaRDI QIDQ2347056

Mogens Steffensen, Ninna Reitzel Jensen

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.02.006

zbMATH Keywords

stochastic controlrecursive utilitytime-inconsistencylifetime uncertaintycertainty equivalentsgeneralized Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Related Items (10)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods ⋮ Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks ⋮ Household investment-consumption-insurance policies under the age-dependent risk preferences ⋮ Equilibrium investment with random risk aversion ⋮ Nonrecursive separation of risk and time preferences ⋮ Life insurance decisions under recursive utility ⋮ Eliciting Risk Preferences and Elasticity of Substitution ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness

Cites Work

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• Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
• Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Consumption Over the Life Cycle

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