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Consumption-Investment-Insurance Problems
Provider: Faculty of Science

Activity no.: 5574-19-07-31 
Enrollment deadline: 04/02/2019
Tilmelding : Consumption-Investment-Insurance Problems
ECTS credits7.50
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time04.02.2019, at: 09:00 -
07.04.2019, at: 16:00
 
Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserMogens Steffensen    E-mail address: mogens@math.ku.dk
Teaching languageEnglish partially in English
Semester/BlockBlock 3
Scheme groupC
Exam formContinuous assessment
Exam formContinuous assessment
Exam detailsEach student has to give two oral presentations during classes. Furthermore, each student has to hand in two short reports. Each of these four components count equally towards the grade. All aids allowed. 7-point grading scale. No external censorship.
Course workload
Course workload categoryHours
Seminar36.00
Preparation170.00
Sum206.00
Learning outcome
At the end of the course the student is expected to have:

Knowledge about individual dynamic optimization problems with respect to consumption, investment and insurance decision making

Skills to formalize and solve relevant classes of continuous-time optimization problems via establishment and solution of the corresponding HJB equation.

Competences in; structuring optimization problems into state processes, control processes and objective functions; understand the indregients in classical and neo-classical optimizations problems of the individual; having an overview over what types of problems lead to what type of solution; being able to derive and interpret the life-cycle nature of the different control processes; formalizing and handling modern aspects of preferences like habit formation, recursive utility, uncertain lifetime, family size, labor supply, education and housing.

Content
Individual dynamic optimization problems with respect to consumption, investment and insurance decision making.

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