Life insurance decisions under recursive utility

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Life insurance decisions under recursive utility. / Jensen, Ninna Reitzel.

In: Scandinavian Actuarial Journal, Vol. 2019, No. 3, 2019, p. 204-227.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Jensen, NR 2019, 'Life insurance decisions under recursive utility', Scandinavian Actuarial Journal, vol. 2019, no. 3, pp. 204-227. https://doi.org/10.1080/03461238.2018.1541025

APA

Jensen, N. R. (2019). Life insurance decisions under recursive utility. Scandinavian Actuarial Journal, 2019(3), 204-227. https://doi.org/10.1080/03461238.2018.1541025

Vancouver

Jensen NR. Life insurance decisions under recursive utility. Scandinavian Actuarial Journal. 2019;2019(3):204-227. https://doi.org/10.1080/03461238.2018.1541025

Author

Jensen, Ninna Reitzel. / Life insurance decisions under recursive utility. In: Scandinavian Actuarial Journal. 2019 ; Vol. 2019, No. 3. pp. 204-227.

Bibtex

@article{709cfc4c4f674132a0f43132302bdd1c,
title = "Life insurance decisions under recursive utility",
abstract = "In this paper, we generalize recursive utility to include lifetime uncertainty and utility from bequest. The generalization applies to discrete-time as well as continuous-time recursive utility, and it is an important step forward in the development of recursive utility. We formalize the problem of optimal consumption, investment, and life insurance choice under recursive utility, and we state a verification theorem with a generalized Hamilton-Jacobi-Bellman equation. Our generalization of recursive utility allows us to study optimal consumption, investment, and life insurance choice under separation of (market) risk aversion, elasticity of inter-temporal substitution, and elasticity of substitution between bequest and future utility. The separation gives rise to hump-shaped consumption patterns as observed in realized consumption.",
keywords = "generalized Hamilton-Jacobi-Bellman equation, hump-shaped consumption, lifetime uncertainty, Recursive utility, stochastic control",
author = "Jensen, {Ninna Reitzel}",
year = "2019",
doi = "10.1080/03461238.2018.1541025",
language = "English",
volume = "2019",
pages = "204--227",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",
number = "3",

}

RIS

TY - JOUR

T1 - Life insurance decisions under recursive utility

AU - Jensen, Ninna Reitzel

PY - 2019

Y1 - 2019

N2 - In this paper, we generalize recursive utility to include lifetime uncertainty and utility from bequest. The generalization applies to discrete-time as well as continuous-time recursive utility, and it is an important step forward in the development of recursive utility. We formalize the problem of optimal consumption, investment, and life insurance choice under recursive utility, and we state a verification theorem with a generalized Hamilton-Jacobi-Bellman equation. Our generalization of recursive utility allows us to study optimal consumption, investment, and life insurance choice under separation of (market) risk aversion, elasticity of inter-temporal substitution, and elasticity of substitution between bequest and future utility. The separation gives rise to hump-shaped consumption patterns as observed in realized consumption.

AB - In this paper, we generalize recursive utility to include lifetime uncertainty and utility from bequest. The generalization applies to discrete-time as well as continuous-time recursive utility, and it is an important step forward in the development of recursive utility. We formalize the problem of optimal consumption, investment, and life insurance choice under recursive utility, and we state a verification theorem with a generalized Hamilton-Jacobi-Bellman equation. Our generalization of recursive utility allows us to study optimal consumption, investment, and life insurance choice under separation of (market) risk aversion, elasticity of inter-temporal substitution, and elasticity of substitution between bequest and future utility. The separation gives rise to hump-shaped consumption patterns as observed in realized consumption.

KW - generalized Hamilton-Jacobi-Bellman equation

KW - hump-shaped consumption

KW - lifetime uncertainty

KW - Recursive utility

KW - stochastic control

UR - http://www.scopus.com/inward/record.url?scp=85056092845&partnerID=8YFLogxK

U2 - 10.1080/03461238.2018.1541025

DO - 10.1080/03461238.2018.1541025

M3 - Journal article

AN - SCOPUS:85056092845

VL - 2019

SP - 204

EP - 227

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

IS - 3

ER -

ID: 222974371