Household Consumption, Investment and Life Insurance

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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.
OriginalsprogEngelsk
TidsskriftInsurance: Mathematics and Economics
Vol/bind48
Udgave nummer3
Sider (fra-til)315-325
ISSN0167-6687
DOI
StatusUdgivet - 2011

ID: 40389013