Legislation imposes insurance companies to project their assets and liabilities in various financial scenarios. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and without policyholder behavior. The projection...

This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy term life insurance with realistic features. In particular, the available contracts...

This paper develops a continuous-time Markov model for utility optimization for households. The household optimizes expected future utility from consumption by controlling consumption, investments and purchase of life insurance on each person in the household. The optimal controls are...