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1 results

  • Optimal consumption, investment, and insurance under state-dependent risk aversion

  • Mogens Steffensen, Julie Bjørner Søe
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 53 / Issue 1 / January 2023
    Published online by Cambridge University Press:
    23 January 2023, pp. 104-128
    Print publication:
    January 2023
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  • We formalize a consumption–investment–insurance problem with the distinction of a state-dependent relative risk aversion. The state dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and analyze the implicit solution to the problem, compare it with special cases in the literature, and illustrate the range of results in a disability model where the relative risk aversion is preserved, decreases, or increases upon disability.