Household Consumption, Investment and Life Insurance

Kenneth Bruhn; Mogens Steffensen

doi:10.1016/j.insmatheco.2010.12.004

Household Consumption, Investment and Life Insurance

Kenneth Bruhn, Mogens Steffensen

Institut for Matematiske Fag

22 Citationer (Scopus)

Abstract

This paper develops a continuous-time Markov model for utility optimization of households. The household optimizes expected future utility from consumption by controlling consumption, investments and purchase of lifeinsurance for each person in the household. The optimal controls are investigated in the special case of a two-person household, and we present graphics illustrating how differences between the two persons affect the controls.

Originalsprog	Engelsk
Tidsskrift	Insurance: Mathematics and Economics
Vol/bind	48
Udgave nummer	3
Sider (fra-til)	315-325
ISSN	0167-6687
DOI	https://doi.org/10.1016/j.insmatheco.2010.12.004
Status	Udgivet - maj 2011

Adgang til dokumentet

10.1016/j.insmatheco.2010.12.004

Citationsformater

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AB - This paper develops a continuous-time Markov model for utility optimization of households. The household optimizes expected future utility from consumption by controlling consumption, investments and purchase of lifeinsurance for each person in the household. The optimal controls are investigated in the special case of a two-person household, and we present graphics illustrating how differences between the two persons affect the controls.

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