Life insurance and annuity demand under hyperbolic discounting

Artikel

In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent preferences are in contrast to the usual case of constant preferences (exponential discounting). We find: (1) investors (realistically) demand more life insurance after retirement (in contrast to the standard model, which showed strong demand for life annuities), and annuities are rarely purchased; (2) optimal consumption paths exhibit a humped shape (which is usually only found in incomplete markets under the assumptions of the standard model).

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 2 ; Pages: 1-10 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: hyperbolic discounting ; dynamic programming ; consumption ; portfolio rules ; life insurance ; life annuity

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Tang, Siqi ; Purcal, Sachi ; Zhang, Jinhui
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/risks6020043
• Handle: http://hdl.handle.net/10419/195835
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ