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首页> 外文期刊>The journal of risk and insurance >OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM INCORPORATING HOUSING AND LIFE INSURANCE DECISIONS: THE CONTINUOUS TIME CASE
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OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM INCORPORATING HOUSING AND LIFE INSURANCE DECISIONS: THE CONTINUOUS TIME CASE

机译：包含住房和人寿保险决定的最佳消费和投资问题：连续时间

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摘要

This study considers the optimal consumption-investment-insurance problem incorporating housing decisions of a household when interest rates and labor income are stochastic. Under the complete market assumption, we derive the closed-form solution of the optimal insurance demand, portfolio choice, and housing consumption. We calibrate the model using data from the financial market of Taiwan. We find that the insurer's pricing strategy has a significant impact on the household's consumption pattern. Specifically, additional loading in insurance premium allows the life-cycle model to produce hump-shaped consumptions of both perishable goods and housing. Loading also creates an unfair background risk to households. However, we only find a small portfolio risk reduction, because households optimally choose a large coverage to mitigate the mortality exposure. This suggests empirical background risk studies overestimate the risk reduction when insurance is available.
机译：这项研究考虑了当利率和劳动收入是随机的时，结合了家庭住房决策的最优消费-投资-保险问题。在完整的市场假设下，我们得出最优保险需求，投资组合选择和住房消费的封闭式解决方案。我们使用台湾金融市场的数据对模型进行校准。我们发现，保险公司的定价策略对家庭的消费模式有重大影响。具体而言，额外的保险费负担使生命周期模型可以产生易腐烂物品和住房的驼峰状消费。装载也会给家庭带来不公平的背景风险。但是，我们发现投资组合的风险降低很小，因为家庭最佳地选择了较大的保险范围以减轻死亡率。这表明经验背景风险研究高估了可提供保险时的风险降低。

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