Advanced Search
MyIDEAS: Login to save this paper or follow this series

Mortality Contingent Claims: Impact of Capital Market, Income, and Interest Rate Risk

Contents:

Author Info

  • Wolfram Horneff

    (Goethe University)

  • Raimond Maurer

    (Goethe University)

Registered author(s):

    Abstract

    In this paper, we consider optimal insurance, portfolio allocation, and consumption rules for a stochastic wage earner with CRRA preferences whose lifetime is random. In a continuous time framework, the investor has to decide among short and long positions in mortality contingent claims a.k.a. life insurance, stocks, bonds, and money market investment when facing a risky stock market and interest rate risk. We find an analytical solution for the complete market case in which human capital is exactly priced. We also extend the analysis to the case where income is unspanned. An illustrative analysis shows when the wage earner’s demand for life insurance switches to the demand for annuities.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.mrrc.isr.umich.edu/publications/Papers/pdf/wp222.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by University of Michigan, Michigan Retirement Research Center in its series Working Papers with number wp222.

    as in new window
    Length: 32 pages
    Date of creation: Sep 2009
    Date of revision:
    Handle: RePEc:mrr:papers:wp222

    Contact details of provider:
    Postal: P.O. Box 1248, Ann Arbor, MI 48104
    Phone: (734) 615-0422
    Fax: (734) 647-4575
    Email:
    Web page: http://www.mrrc.isr.umich.edu/publications/papers/
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Pirvu, Traian A. & Zhang, Huayue, 2012. "Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 303-309.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:mrr:papers:wp222. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (MRRC Administrator).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.