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Document Details : Title: Optimal Consumption and Insurance Subtitle: A Continuous-time Markov Chain Approach Author(s): KRAFT, Holger , STEFFENSEN, Mogens Journal: ASTIN Bulletin Volume: 38 Issue: 1 Date: May 2008 Pages: 231-257 DOI: 10.2143/AST.38.1.2030412 Abstract : 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. |