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：10.2143/ast.38.1.2030412 · 被引用次数：37 · 研究领域：Insurance, Mortality, Demography, Risk Management、Financial Literacy, Pension, Retirement Analysis、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.