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

作者：Holger Kraft, Mogens Steffensen · 发表于：Astin Bulletin · 年份：2008 · DOI：10.1017/s0515036100015154 · 被引用次数：35 · 研究领域：Financial Literacy, Pension, Retirement Analysis、Insurance, Mortality, Demography, Risk Management、Decision-Making and Behavioral Economics

Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are in this article modelled in a continuous-time multi-state Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying; in another model the individual takes optimal positions against the risk of losing income as a consequence of disability or unemployment.