Household consumption, investment and life insurance
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 48 (2011)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/locate/inca/505554
Personal finance Household finance Multi-state model Stochastic control Power utility;
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