A life insurance model with asymmetric time preferences

We build a life insurance model in the tradition of Richard (1975) and Pliska and Ye (2007). Two agents purchase life insurance by continuously paying two premiums. At the random time of death of an agent, the life insurance payment is added to the household wealth to be used by the other agent. We...

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Detalles Bibliográficos
Autor: Alderborn, Joakim
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2024
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:dnet:recercat____::74eac5bcdda9731cf4c6e009274b1a6f
Acceso en línea:https://hdl.handle.net/2445/229181
Access Level:acceso abierto
Palabra clave:Primes (Assegurances)
Assegurances de vida
Insurance premiums
Life insurance
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spelling A life insurance model with asymmetric time preferencesAlderborn, JoakimPrimes (Assegurances)Assegurances de vidaInsurance premiumsLife insuranceWe build a life insurance model in the tradition of Richard (1975) and Pliska and Ye (2007). Two agents purchase life insurance by continuously paying two premiums. At the random time of death of an agent, the life insurance payment is added to the household wealth to be used by the other agent. We allow for the agents to discount future utilities at different rates, which implies that the household has inconsistent time preferences. To solve the model, we employ the equilibrium of Ekeland and Lazrak (2010), and we derive a new dynamic programming equation which is designed to find this equilibrium for our model. The most important contribution of the paper is to combine the issue of inconsistent time preferences with the presence of several agents. We also investigate the sensitivity of the behaviors of the agents to the parameters of the model by using numeric analysis. We find, among other things, that while the purchase of life insurance of one agent increases in her own discount rate, it decreases in the discount rate of the other agent.Elsevier B.V.2026202620242026info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion15 p.application/pdfhttps://hdl.handle.net/2445/229181https://hdl.handle.net/2445/229181Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésReproducció del document publicat a: https://doi.org/10.1016/j.insmatheco.2024.07.005Insurance Mathematics and Economics, 2024, vol. 119, p. 17-31https://doi.org/10.1016/j.insmatheco.2024.07.005cc-by (c) Alderborn, Joakim, 2024http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:dnet:recercat____::74eac5bcdda9731cf4c6e009274b1a6f2026-05-29T05:05:01Z
dc.title.none.fl_str_mv A life insurance model with asymmetric time preferences
title A life insurance model with asymmetric time preferences
spellingShingle A life insurance model with asymmetric time preferences
Alderborn, Joakim
Primes (Assegurances)
Assegurances de vida
Insurance premiums
Life insurance
title_short A life insurance model with asymmetric time preferences
title_full A life insurance model with asymmetric time preferences
title_fullStr A life insurance model with asymmetric time preferences
title_full_unstemmed A life insurance model with asymmetric time preferences
title_sort A life insurance model with asymmetric time preferences
dc.creator.none.fl_str_mv Alderborn, Joakim
author Alderborn, Joakim
author_facet Alderborn, Joakim
author_role author
dc.subject.none.fl_str_mv Primes (Assegurances)
Assegurances de vida
Insurance premiums
Life insurance
topic Primes (Assegurances)
Assegurances de vida
Insurance premiums
Life insurance
description We build a life insurance model in the tradition of Richard (1975) and Pliska and Ye (2007). Two agents purchase life insurance by continuously paying two premiums. At the random time of death of an agent, the life insurance payment is added to the household wealth to be used by the other agent. We allow for the agents to discount future utilities at different rates, which implies that the household has inconsistent time preferences. To solve the model, we employ the equilibrium of Ekeland and Lazrak (2010), and we derive a new dynamic programming equation which is designed to find this equilibrium for our model. The most important contribution of the paper is to combine the issue of inconsistent time preferences with the presence of several agents. We also investigate the sensitivity of the behaviors of the agents to the parameters of the model by using numeric analysis. We find, among other things, that while the purchase of life insurance of one agent increases in her own discount rate, it decreases in the discount rate of the other agent.
publishDate 2024
dc.date.none.fl_str_mv 2024
2026
2026
2026
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/229181
https://hdl.handle.net/2445/229181
url https://hdl.handle.net/2445/229181
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.1016/j.insmatheco.2024.07.005
Insurance Mathematics and Economics, 2024, vol. 119, p. 17-31
https://doi.org/10.1016/j.insmatheco.2024.07.005
dc.rights.none.fl_str_mv cc-by (c) Alderborn, Joakim, 2024
http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by (c) Alderborn, Joakim, 2024
http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 15 p.
application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869410647348871168
score 15,81155

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