Household Consumption, Investment and Life Insurance

Research output: Contribution to journalJournal articleResearchpeer-review

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 languageEnglish
JournalInsurance: Mathematics and Economics
Volume48
Issue number3
Pages (from-to)315-325
ISSN0167-6687
DOIs
Publication statusPublished - 2011

ID: 40389013