Dipartimento di Scienze Statistiche

  Prof. Mogens Steffensen (University of Copenhagen) Abstract: We take consumption-investment problems as starting point and discuss extensions to include life insurance decisions over the life-cycle. This overview starts with Richard (1975) and the insight gained already there. We also consider the decision of the pension fund to invest the surplus and redistribute it in terms of dividends to policy holders.  Keywords: Multi-state models, market frictions, hump-shaped consumption, stochastic mortality, the Linear-Quadratic approach to optimal dividends. No prerequisites in stochastic control theory are needed.