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Demande d’assurance, décisions de consommation et de portefeuille : une analyse en temps continu

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  • Briys, Eric

    (Professeur assistant, Département Finance, Centre HEC-ISA France)

Abstract

This paper provides a continuous-time analysis of the optimal insurance demand by individuals. A joint treatment of the insurance, consumption and portfolio decisions is presented using a framework à la Merton (1969, 1971). The individual optimal insurance demand is explicitly derived under the class of isoelastic marginal utility fonctions. It is shown that the properties of the optimal insurance coverage are far more complex than suspected by some recent contributions. In the course of doing so this paper tries to fill a gap of the traditional insurance literature which has very often focused on insurance in isolation. Cet article examine la demande optimale d’assurance dommage en temps continu. Les décisions d’assurance, de portefeuille et de consommation sont analysées conjointement dans un cadre à la Merton (1969, 1971). Des solutions explicites sont dérivées dans le cas d’une fonction d’utilité isoélastique. Il apparaît que les propriétés de la demande optimale d’assurance sont bien plus complexes que ne le laissent supposer certaines récentes contributions.

Suggested Citation

  • Briys, Eric, 1987. "Demande d’assurance, décisions de consommation et de portefeuille : une analyse en temps continu," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 200-212, juin et s.
    • Handle: RePEc:ris:actuec:v:63:y:1987:i:2:p:200-212
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    References listed on IDEAS

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