We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal...

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...

In a traditional Black-Scholes market we develop a verification theorem for a generalclass of investment and consumption problems where the standard dynamic programmingprinciple does not hold. The theorem is an extension of the standard Hamilton-Jacobi-Bellman equation in the form of a system of...

Decision problems about consumption and insurance are modelled in a continuous time multistate 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...