Household consumption, investment and life insurance

被引：34
|
作者：
Bruhn, Kenneth [1 ,2 ]
Steffensen, Mogens [1 ]
机构：
[1] Univ Copenhagen, Dept Math Sci, DK-2100 Copenhagen, Denmark
[2] SEB Pens, DK-0900 Copenhagen C, Denmark
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2011年 / 48卷 / 03期
关键词：
Personal finance; Household finance; Multi-state model; Stochastic control; Power utility; MARITAL-STATUS; MORTALITY; DEATH;
D O I：
10.1016/j.insmatheco.2010.12.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 life insurance 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. (C) 2010 Elsevier B.V. All rights reserved.
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页码：315 / 325
页数：11
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