NMAK16006U  Consumption-Investment-Insurance Problems

Volume 2018/2019

MSc Programme in Actuarial Mathematics


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.

2 x 2 hours of seminar presentations per week by students during nine weeks. The classes are based on articles. Active participation is expected.
7,5 ECTS
Type of assessment
Continuous assessment
Each 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
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner.

60 minutes oral exam without preparation time and with all aids allowed. One internal examiner. To participate in the exam the student must hand in two short reports no later than two weeks before the beginning of the re-exam week. They must be approved before the re-exam.

Criteria for exam assesment

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

  • Category
  • Hours
  • Seminar
  • 36
  • Preparation
  • 170
  • Total
  • 206