Abstract: We discuss problem formulations and equilibrium solutions to time-inconsistent consumption-investment problems. In one problem class, we formalize preference uncertainty and discuss solutions dependent on learning and preferences regarding preference risk. In another problem class, we suggest time-global disentanglements of time and risk preferences as alternatives to the classical time-local recursive utility. We compare the results, formally and numerically, to those of the recursive utility and discuss extensions. The newest suggestion is the time-continuous Kihlstrom-Mirman preferences.

Bio: Mogens Steffensen is a professor of life insurance mathematics and head of the Department for Mathematical Sciences at the University of Copenhagen. His research covers various valuation and decision-making problems in insurance and finance. He has recently been interested in integrating insurance and pension decisions into classical consumption-investment problems. He participates in industrial discussions and research projects about solvency, risk management, and product design. He is a member of the board of directors and chairman of the audit committee of PFA Pension, the largest Danish commercial pension fund.