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

Department of Mathematical Sciences

22 Citations (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.

Original language	English
Journal	Insurance: Mathematics and Economics
Volume	48
Issue number	3
Pages (from-to)	315-325
ISSN	0167-6687
DOIs	https://doi.org/10.1016/j.insmatheco.2010.12.004
Publication status	Published - May 2011

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10.1016/j.insmatheco.2010.12.004

Cite this

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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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