IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v45y2015i01p1-47_00.html

Life Insurance And Pension Contracts I: The Time Additive Life Cycle Model

Author

Listed:
  • Aase, Knut K.

Abstract

We analyze optimal consumption in the life cycle model by introducing life and pension insurance contracts. The model contains a credit market with biometric risk, and market risk via risky securities. This idealized framework enables us to clarify important aspects of life insurance and pension contracts. We find optimal pension plans and life insurance contracts where the benefits are state dependent. We compare these solutions both to the ones of standard actuarial theory, and to policies offered in practice. Implications of this include what role the insurance industry may play to improve welfare. The relationship between substitution of consumption and risk aversion is highlighted in the presence of a consumption puzzle. One problem related portfolio choice is discussed the horizon problem. Finally, we present some comments on longevity risk and cohort risk.

Suggested Citation

  • Aase, Knut K., 2015. "Life Insurance And Pension Contracts I: The Time Additive Life Cycle Model," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 1-47, January.
    • Handle: RePEc:cup:astinb:v:45:y:2015:i:01:p:1-47_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036114000269/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

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


    Cited by:

    1. is not listed on IDEAS
    2. Andreas Reuß & Jochen Ruß & Jochen Wieland, 2016. "Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests," Risks, MDPI, vol. 4(2), pages 1-18, May.
    3. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on optimal consumption," Discussion Papers 2014/19, Norwegian School of Economics, Department of Business and Management Science, revised 16 Oct 2015.

    More about this item

    JEL classification:

    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:45:y:2015:i:01:p:1-47_00. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.