This article explores an individual’s optimal insurance choice and an insurer’s optimal product mix consisting of whole life insurance and deferred life annuities in a market equilibrium framework. On the demand side, the insured decides an optimal insurance choice by maximizing lifetime expected utility. On the supply side, an insurer chooses an optimal product mix by minimizing the conditional value-at-risk (CVaR) in its lines of business. By varying the loading for each insurance product, we match demand and supply of these products to clear the market. Our results suggest that market equilibria may occur when life insurance loading is relatively high and annuity loading is relatively low. This calls for attention from insurance regulators and life insurers to review insurance/annuity underwriting and pricing.

本文探讨了市场均衡框架下个人的最优保险选择和保险公司的最优产品组合（包括终身寿险和递延寿险年金）。在需求方面，被保险人通过最大化终身预期效用来决定最优的保险选择。在供应方面，保险公司通过最小化其业务范围内的条件风险价值 (CVaR) 来选择最佳产品组合。通过改变每种保险产品的负担，我们匹配这些产品的需求和供应，以清理市场。我们的结果表明，当人寿保险负担相对较高而年金负担相对较低时，可能会出现市场均衡。这需要保险监管机构和人寿保险公司关注审查保险/年金承保和定价。