Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach

DOI10.2143/AST.38.1.2030412MaRDI QIDQ3395772zbMATH OpenOpenAlexFDO

Authors Holger Kraft, Mogens Steffensen

Publication date 13 September 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.38.1.2030412

zbMATH Keywords

multi-state modelstochastic controlfinancial decision makingpersonal financemortality-disability-unemployment risk

Mathematics Subject Classification ID

Decision theory (91B06) Optimal stochastic control (93E20)

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Cites work

• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(27)

• Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
• Time-coherent risk measures for continuous-time Markov chains
• Optimal insurance in a continuous-time model
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Household consumption, investment and life insurance
• The role of health in consumption and portfolio decision-making: insights from state-dependent models
• Optimal consumption, investment and life insurance with surrender option guarantee
• The Markov consumption problem
• Entrance times of random walks: with applications to pension fund modeling
• Optimal consumption, investment, and insurance under state-dependent risk aversion
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
• The policyholder's static and dynamic decision making of life insurance and pension payments
• Life insurance purchasing to maximize utility of household consumption
• Pricing of unemployment insurance products with doubly stochastic Markov chains
• Household consumption-investment-insurance decisions with uncertain income and market ambiguity
• MULTI-PERIOD OPTIMIZATION MODEL FOR A HOUSEHOLD, AND OPTIMAL INSURANCE DESIGN(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)
• Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
• Optimal savings management for individuals with defined contribution pension plans
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• Household investment-consumption-insurance policies under the age-dependent risk preferences
• 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
• Optimal investment, consumption, and life insurance in an incomplete market
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution

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