Advanced Search
MyIDEAS: Login to save this article or follow this journal

Household consumption, investment and life insurance

Contents:

Author Info

  • Bruhn, Kenneth
  • Steffensen, Mogens
Registered author(s):

    Abstract

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-51S259N-1/2/d27084ed8d0f4d79e8e8218b6600c0a4
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 48 (2011)
    Issue (Month): 3 (May)
    Pages: 315-325

    as in new window
    Handle: RePEc:eee:insuma:v:48:y:2011:i:3:p:315-325

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Personal finance Household finance Multi-state model Stochastic control Power utility;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, Elsevier, vol. 3(4), pages 373-413, December.
    2. Jay H. Hong & José-Víctor Ríos-Rull, 2012. "Life Insurance and Household Consumption," American Economic Review, American Economic Association, American Economic Association, vol. 102(7), pages 3701-30, December.
    3. Richard, Scott F., 1975. "Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(2), pages 187-203, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 551-568.
    2. Erhan Bayraktar & Virginia R. Young, 2012. "Life Insurance Purchasing to Maximize Utility of Household Consumption," Papers, arXiv.org 1205.5958, arXiv.org, revised Jun 2013.
    3. Schendel, Lorenz S., 2014. "Consumption-investment problems with stochastic mortality risk," SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt 43, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    4. Kraft, Holger & Schendel, Lorenz S. & Steffensen, Mogens, 2014. "Life insurance demand under health shock risk," SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt 40, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:48:y:2011:i:3:p:315-325. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.