Kursussøgning, efter- og videreuddannelse – Københavns Universitet

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Kursussøgning, efter- og videreuddannelse

Consumption-Investment-Insurance Problems

Practical information
Study year 2016/2017
Block 4
Programme level Full Degree Master
Course responsible
  • Mogens Steffensen (6-72746c6a7378457266796d33707a336970)
  • Department of Mathematical Sciences
Course number: NMAK16006U

Course 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.

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MSc Programme in Actuarial Mathematics


Study Board of Mathematics and Computer Science

Course type

Single subject courses (day)


1 block


---- SKEMA LINK ----

Teaching and learning methods

2 x 2 hours of seminar presentations per week by students during nine weeks. The classes are based on articles. Active participation is expected.


No restrictions/no limitation




Category Hours
Seminar 36
Preparation 170
English 206


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

Criteria for exam assessment

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

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.

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