Household consumption, investment and life insurance

DOI10.1016/J.INSMATHECO.2010.12.004MaRDI QIDQ2276237zbMATHOpenAlexFDO

Authors Kenneth Bruhn, Mogens Steffensen

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.12.004

zbMATH Keywords

multi-state modelstochastic controlpower utilityhousehold financepersonal finance

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Utility theory (91B16) Optimal stochastic control (93E20)

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Cites work

• Markov Chain Models in Life Insurance
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(25)

• On retirement time decision making
• Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Optimal investment and consumption decision of a family with life insurance
• Optimal consumption, investment and life insurance with surrender option guarantee
• Optimal retirement time under habit persistence: what makes individuals retire early?
• Entrance times of random walks: with applications to pension fund modeling
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Optimal retirement planning with a focus on single and joint life annuities
• Optimal investment and life insurance strategies in a mixed jump-diffusion framework
• Life insurance purchasing to maximize utility of household consumption
• Life-cycle consumption and life insurance: empirical evidence from Italian survey
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
• Household investment-consumption-insurance policies under the age-dependent risk preferences
• Two-player zero-sum stochastic differential games with random horizon
• Optimal investment-consumption-insurance with random parameters
• Mutual aid insurance with a three-state Markov chain
• Solving life-cycle problems with biometric risk by artificial insurance markets
• Health shock risk, critical illness insurance, and housing services
• Dynamic portfolio choice with stochastic wage and life insurance
• A life insurance model with asymmetric time preferences
• Optimal investment, consumption, and life insurance in an incomplete market

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