NMAK16006U CHANGED: Consumption-Investment-Insurance Problems

Volume 2018/2019
Education

MSc Programme in Actuarial Mathematics

Content

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

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.

The course is project-based. 2 hours of supervision per week for 9 weeks.
  • Category
  • Hours
  • Guidance
  • 16
  • Preparation
  • 16
  • Project work
  • 174
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written examination
written assignment. Final individual report.
Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner.
Re-exam

Same requirements as the ordinary exam. The project must be submitted no later than three weeks before the beginning of the re-exam week.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.