دانلود مقاله ISI انگلیسی شماره 24117
عنوان فارسی مقاله

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کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
24117 2007 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Optimal life insurance purchase and consumption/investment under uncertain lifetime
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 31, Issue 5, May 2007, Pages 1307–1319

کلمات کلیدی
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پیش نمایش مقاله

چکیده انگلیسی

In this paper, we consider optimal insurance and consumption rules for a wage earner whose lifetime is random. The wage earner is endowed with an initial wealth, and he also receives an income continuously, but this may be terminated by the wage earner’s premature death. We use dynamic programming to analyze this problem and derive the optimal insurance and consumption rules. Explicit solutions are found for the family of CRRA utilities, and the demand for life insurance is studied by examining our solutions and doing numerical experiments

مقدمه انگلیسی

We model the optimal insurance purchase and consumption under an uncertain lifetime for a wage earner in a simple economic environment, obtaining successfully the explicit solutions in the case of CRRA utilities, and explaining how factors affect the demand of life insurance purchase via numerical experiments. Our numerical experiments show in particular that insurance companies should increase the loading factor moderately from one in order to acquire maximal possible profit from the life insurance business. It should be noted from Fig. 5 and Fig. 6 that the premium payment rate p can be negative, especially when the wage earner is nearing retirement. This means the wage earner is collecting money at the rate −p, but his or her estate pays out a lump sum upon his or her death. But this negative payment rate is limited since the bequest is nonnegative from (32). This requirement rules out the possibility that the wage earner might be indebted to insurance companies if premature death occurs. For example, if the wage earner’s current wealth is $100,000, and the premium-insurance ratio is 0.01, then his or her payment rate must satisfy p ⩾ −$1000. This amount relative to the current wealth is typically very small, but the penalty is very large if premature death occurs. So allowing the wage earner to sell life insurance changes his or her behavior little. It is reasonable that the wage earner would find it optimal to sell life insurance close to retirement time. Future research will investigate this problem with the addition of a nonnegative constraint on the premium payment rate. Nowadays, the merger of the capital and insurance markets is accelerating due to financial services deregulation and globalization of financial services. In a forthcoming paper, we will examine optimal life insurance purchase, consumption and portfolio investment rules for a wage earner with an uncertain lifetime in a more complex economic environment where investment opportunities are stochastic.