Consumption, investment and life insurance under different tax regimes
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
Consumption, investment and life insurance under different tax regimes. / Bruun, Kenneth.
I: Annals of Actuarial Science, Bind 7, Nr. 02, 2013, s. 210-235.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - Consumption, investment and life insurance under different tax regimes
AU - Bruun, Kenneth
PY - 2013
Y1 - 2013
N2 - We study the effects of introducing taxation in classical continuous-time optimization problems with utility from consumption, bequest and retirement savings. Inspired by actual tax favoured retirement savings programs, we formulate and solve the optimization problem for various tax regimes, and compare tax effects on consumption/savings contributions, investment and purchase of life insurance under the regimes. The optimization problems have analytical solutions, which allow for easy comparison of tax effects under the different regimes. To substantiate the results we also present a numerical analysis of the results based on realistic parameter values and regimes. Based on American and Danish tax regimes we estimate the values of existing retirement saving favouring to be 1 – 2 percent of lifetime income.
AB - We study the effects of introducing taxation in classical continuous-time optimization problems with utility from consumption, bequest and retirement savings. Inspired by actual tax favoured retirement savings programs, we formulate and solve the optimization problem for various tax regimes, and compare tax effects on consumption/savings contributions, investment and purchase of life insurance under the regimes. The optimization problems have analytical solutions, which allow for easy comparison of tax effects under the different regimes. To substantiate the results we also present a numerical analysis of the results based on realistic parameter values and regimes. Based on American and Danish tax regimes we estimate the values of existing retirement saving favouring to be 1 – 2 percent of lifetime income.
U2 - 10.1017/S1748499512000279
DO - 10.1017/S1748499512000279
M3 - Tidsskriftartikel
VL - 7
SP - 210
EP - 235
JO - Annals of Actuarial Science
JF - Annals of Actuarial Science
SN - 1748-4995
IS - 02
ER -
ID: 102081451