Integrated risk model in household life cycle

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„This monograph [...] will be an interesting and inspiring reading matter for a broad public”.
prof. dr hab. Grażyna Trzpiot
University of Economics in Katowice
”The book is the fi rst study of this kind in Poland and, I think, a unique one on a global level. This is thanks to the originality of the models proposed there, as well as because of a holistic approach adopted by the Authors. Using this approach, they explain mechanisms and determinants of a household’s functioning throughout its whole life cycle, particularly in terms of the fi nancial effects”.
dr hab. Zbigniew Krysiak
Warsaw School of Economics


Liczba stron298
WydawcaWydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
ISBN-13978-83-7695-528-5
Język publikacjipolski
Informacja o sprzedawcyRavelo Sp. z o.o.

Ciekawe propozycje

Spis treści

  Introduction    9
  1 Financial planning in a household    13
  1.1 Basic problems of personal finance    14
  1.2 Financial planning in personal finance    19
  1.3 Decision making by individuals and households    27
    1.3.1 Needs and preferences of household’s members    27
    1.3.2 Decision making process    30
    1.3.3 Utility theory    32
    1.3.4 Utility-based choice theory    36
  1.4 Intertemporal choice and consumption models    42
  2 Risk in personal finance    53
  2.1 Risk – basic concepts    53
  2.2 The role of risk in household financial planning    60
  2.3 Types of risk and risk factors    67
    2.3.1 Life-length risk    74
    2.3.2 Risk of investments and financing    77
    2.3.3 Income risk    80
    2.3.4 Risk of events (insurance-like events)    82
    2.3.5 Risk of goal realization    83
    2.3.6 Operational risk of plan management (the risk of plan implementation)    86
    2.3.7 Model risk    89
  2.4 Measurement of risk    91
    2.4.1 Risk measures based on the statistical distribution of risk variable    92
    2.4.2 Risk measures based on the dependence on risk factors    99
    2.4.3 Risk measurement for a discrete variable    99
    2.4.4 Risk measurement for the time variable    101
    2.4.5 Extreme risk measurement    103
    2.4.6 Risk measurement in a multivariate case    105
    2.4.7 Concluding remarks    107
  2.5 Steering of risk    108
  3 Household – definition, preferences and goals    115
  3.1 Definition of the household    116
  3.2 Financial goals of households    118
    3.2.1 Type I (Child)    124
    3.2.2 Type II (Retirement)    125
    3.2.3 Type III (House)    126
    3.2.4 Type IV (Endowment)    128
    3.2.5 Type V (Bequest)    129
  3.3 Stochastic goals in household financial planning    130
    3.3.1 Time and magnitude distributions    133
    3.3.2 Child’s birth moment    134
    3.3.3 House value and purchase time    136
    3.3.4 Distribution of household end (for the moment of bequest goal realization)    137
    3.3.5 Distribution of the survival scenario    138
  3.4 Financing of the goals    138
    3.4.1 Pre-financing    139
    3.4.2 Post-financing    140
    3.4.3 Remarks on pre- and post-financing cash flows    142
    3.4.4 Contingency financing    142
  3.5 Household preferences    144
    3.5.1 Utility function and risk aversion    144
    3.5.2 The bequest motive    146
    3.5.3 Multiple goals    150
    3.5.4 Preferences in the model    153
  4 Household financial planning model    160
  4.1 General concepts and assumptions    161
    4.1.1 Main financial categories    161
    4.1.2 Critical dates    166
    4.1.3 Retirement investment schemes    168
    4.1.4 The role of the bequest motive    175
  4.2 Life-length risk aversion in the model    176
  4.3 A model with the retirement goal only    180
  4.4 Extension to include other financial goals    189
    4.4.1 Augmenting the model by the stochastic child’s birth time    189
    4.4.2 Type III goal in the model    191
    4.4.3 Including Type III goal using quantiles of real estate price distribution    193
  4.5 Financing goals and risk of financing    195
  5 Including risk in the household financial planning model    197
  5.1 Considered types of risk and the way of incorporating them into the model    197
  5.2 Integrated measures of risk    203
    5.2.1 Residual Wealth at Risk (RWaR)    206
    5.2.2 Residual Wealth Volatility (RWV)    208
    5.2.3 Residual Wealth Aspiration Level (RWAL)    209
    5.2.4 Lifetime Cumulated Net Cash Flow at Risk (LCNCFaR, LCaR).    210
    5.2.5 Incremental shortfall (ISh)    213
    5.2.6 Shortfall Scenario Probability (ShSP)    214
    5.2.7 Household Default Probability (HDP)    215
  5.3 Managing plan under risk    218
  6 The model at work – numerical examples and analysis of model properties    223
  6.1 The width of the range of concern and plan performance under life-length risk    225
  6.2 The role of the consumption preference and the bequest motive – numerical example    239
  6.3 Life-length risk sharing within a couple    246
  6.4 Risk of investment in the model – numerical examples    261
  6.5 Summary of numerical examples    281
  Conclusions    284
  References    286
  List of figures    293
  List of tables    295
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