Household Consumption, Investment and Life Insurance
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Household Consumption, Investment and Life Insurance. / Bruhn, Kenneth; Steffensen, Mogens.
I: Insurance: Mathematics and Economics, Bind 48, Nr. 3, 2011, s. 315-325.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Household Consumption, Investment and Life Insurance
AU - Bruhn, Kenneth
AU - Steffensen, Mogens
PY - 2011
Y1 - 2011
N2 - 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.
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.
U2 - 10.1016/j.insmatheco.2010.12.004
DO - 10.1016/j.insmatheco.2010.12.004
M3 - Journal article
VL - 48
SP - 315
EP - 325
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
IS - 3
ER -
ID: 40389013