Consumption, investment and life insurance under different tax regimes

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

Standard

Consumption, investment and life insurance under different tax regimes. / Bruun, Kenneth.

In: Annals of Actuarial Science, Vol. 7, No. 02, 2013, p. 210-235.

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

Harvard

Bruun, K 2013, 'Consumption, investment and life insurance under different tax regimes', Annals of Actuarial Science, vol. 7, no. 02, pp. 210-235. https://doi.org/10.1017/S1748499512000279

APA

Bruun, K. (2013). Consumption, investment and life insurance under different tax regimes. Annals of Actuarial Science, 7(02), 210-235. https://doi.org/10.1017/S1748499512000279

Vancouver

Bruun K. Consumption, investment and life insurance under different tax regimes. Annals of Actuarial Science. 2013;7(02):210-235. https://doi.org/10.1017/S1748499512000279

Author

Bruun, Kenneth. / Consumption, investment and life insurance under different tax regimes. In: Annals of Actuarial Science. 2013 ; Vol. 7, No. 02. pp. 210-235.

Bibtex

@article{35d0245721c548cba8cd70a9b3839906,
title = "Consumption, investment and life insurance under different tax regimes",
abstract = "We study the effects of introducing taxation in classical continuous-time optimization problems with utility from consumption, bequest and retirement savings. Inspired by actual tax favoured retirement savings programs, we formulate and solve the optimization problem for various tax regimes, and compare tax effects on consumption/savings contributions, investment and purchase of life insurance under the regimes. The optimization problems have analytical solutions, which allow for easy comparison of tax effects under the different regimes. To substantiate the results we also present a numerical analysis of the results based on realistic parameter values and regimes. Based on American and Danish tax regimes we estimate the values of existing retirement saving favouring to be 1 – 2 percent of lifetime income.",
author = "Kenneth Bruun",
year = "2013",
doi = "10.1017/S1748499512000279",
language = "Japansk",
volume = "7",
pages = "210--235",
journal = "Annals of Actuarial Science",
issn = "1748-4995",
publisher = "Cambridge University Press",
number = "02",

}

RIS

TY - JOUR

T1 - Consumption, investment and life insurance under different tax regimes

AU - Bruun, Kenneth

PY - 2013

Y1 - 2013

N2 - We study the effects of introducing taxation in classical continuous-time optimization problems with utility from consumption, bequest and retirement savings. Inspired by actual tax favoured retirement savings programs, we formulate and solve the optimization problem for various tax regimes, and compare tax effects on consumption/savings contributions, investment and purchase of life insurance under the regimes. The optimization problems have analytical solutions, which allow for easy comparison of tax effects under the different regimes. To substantiate the results we also present a numerical analysis of the results based on realistic parameter values and regimes. Based on American and Danish tax regimes we estimate the values of existing retirement saving favouring to be 1 – 2 percent of lifetime income.

AB - We study the effects of introducing taxation in classical continuous-time optimization problems with utility from consumption, bequest and retirement savings. Inspired by actual tax favoured retirement savings programs, we formulate and solve the optimization problem for various tax regimes, and compare tax effects on consumption/savings contributions, investment and purchase of life insurance under the regimes. The optimization problems have analytical solutions, which allow for easy comparison of tax effects under the different regimes. To substantiate the results we also present a numerical analysis of the results based on realistic parameter values and regimes. Based on American and Danish tax regimes we estimate the values of existing retirement saving favouring to be 1 – 2 percent of lifetime income.

U2 - 10.1017/S1748499512000279

DO - 10.1017/S1748499512000279

M3 - Tidsskriftartikel

VL - 7

SP - 210

EP - 235

JO - Annals of Actuarial Science

JF - Annals of Actuarial Science

SN - 1748-4995

IS - 02

ER -

ID: 102081451