Preferences and design in insurance and pensions
Research output: Book/Report › Ph.D. thesis › Research
Life insurance and pension decisions are of the more important fnancial settlements to be decided in a household. In this thesis we investigate dfferent aspects of relevance for decision making within a household, especially focusing on life insurance and pension decisions. The focus is on the relation between household preferences and the related optimal product design.
Optimal decisions of a household are considered in continuous-time stochastic
control theory models. Within a standard expected utility framework we investigate the eects of dierences between household members as well as tax-effects. The focus is on the consumption, investment and life insurance demands. In another modeling framework, we modify the utility measurement and propose a combination of forward and backward looking preferences. At last, a model with very explicit preferences for stability in consumption is investigated and we find that the optimal consumption pattern derived corresponds to the benefit pattern of a specific annuity product. This particular product is in a simulation study compared to Unit-Link annuities, which fit perfectly with the consumption patterns derived under the expected utility models.
Optimal decisions of a household are considered in continuous-time stochastic
control theory models. Within a standard expected utility framework we investigate the eects of dierences between household members as well as tax-effects. The focus is on the consumption, investment and life insurance demands. In another modeling framework, we modify the utility measurement and propose a combination of forward and backward looking preferences. At last, a model with very explicit preferences for stability in consumption is investigated and we find that the optimal consumption pattern derived corresponds to the benefit pattern of a specific annuity product. This particular product is in a simulation study compared to Unit-Link annuities, which fit perfectly with the consumption patterns derived under the expected utility models.
Original language | English |
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Publisher | Department of Mathematical Sciences, Faculty of Science, University of Copenhagen |
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Number of pages | 163 |
ISBN (Print) | 978-87-7078-9929 |
Publication status | Published - 2013 |
ID: 92081770