Household consumption, investment and life insurance

Kenneth Bruhn and Mogens Steffensen

Insurance: Mathematics and Economics, 2011, vol. 48, issue 3, 315-325

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.

Keywords: Personal; finance; Household; finance; Multi-state; model; Stochastic; control; Power; utility (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:3:p:315-325

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