摘要
在寿险需求文献的基础上,构建一个投资型寿险需求的连续时间动态模型。新模型将投资型寿险分解为定期寿险与一种投资品的结合,其中用以购买定期寿险的保费减少了财富存量,而用以投资的保费则增加了财富水平。在给定初始财富、死亡率、利率、时间偏好、风险偏好、投资型寿险平均收益以及风险方差等条件下,给出了CRRA效用函数下投资型寿险需求的均衡显式解。使用比较动态模型方法,进一步探讨了各参变量对投资型寿险需求的影响效应。
Based on the existing literature,this paper constructed a continuous-time dynamic model to study the in- vestment-type life insurance demand. In the model ,we viewed investment-type life insurance as the combination of term life insurance and an investment tool. The premium for term insurance was assumed to decrease the wealth, while the premium for investment part increased the wealth. Given initial wealth, mortal rate, market interest, time preference, risk aversion, return and risk of investment-type life insurance, this paper provided the solution under the CRRA utility function form. Further with the comparative dynamic method, this paper examined the effects of exoge- nous variables on investment-type life insurance demand.
出处
《保险研究》
CSSCI
北大核心
2013年第2期52-60,共9页
Insurance Studies
基金
山东省政府金融学"泰山学者"专项基金以及山东财经大学博士科研基金资助
关键词
投资型寿险
需求
连续时间动态模型
investment life insurance
demand
continuous-time dynamic model
