Life Insurance and Annuity Demand under Hyperbolic Discounting

被引：8
|
作者：
Tang, Siqi [1 ]
Purcal, Sachi [2 ]
Zhang, Jinhui [2 ]
机构：
[1] QSuper Grp, 70 Eagle St, Brisbane, Qld 4000, Australia
[2] Macquarie Univ, Dept Actuarial Studies & Business Analyt, Fac Business & Econ, Sydney, NSW 2109, Australia
来源：
RISKS | 2018年 / 6卷 / 02期
关键词：
hyperbolic discounting; dynamic programming; consumption; portfolio rules; life insurance; life annuity;
D O I：
10.3390/risks6020043
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent preferences are in contrast to the usual case of constant preferences (exponential discounting). We find: (1) investors (realistically) demand more life insurance after retirement (in contrast to the standard model, which showed strong demand for life annuities), and annuities are rarely purchased; (2) optimal consumption paths exhibit a humped shape (which is usually only found in incomplete markets under the assumptions of the standard model).
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页数：10
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