TY - BOOK

T1 - Preferences and design in insurance and pensions

AU - Bruhn, Kenneth

PY - 2013

Y1 - 2013

N2 - 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 stochasticcontrol 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.

AB - 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 stochasticcontrol 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.

UR - https://soeg.kb.dk/permalink/45KBDK_KGL/fbp0ps/alma99122313224105763

M3 - Ph.D. thesis

SN - 978-87-7078-9929

BT - Preferences and design in insurance and pensions

PB - Department of Mathematical Sciences, Faculty of Science, University of Copenhagen

ER -