Optimal retirement with borrowing constraints and forced unemployment risk

DOI10.1016/J.INSMATHECO.2020.06.002MaRDI QIDQ2212137zbMATH OpenOpenAlexFDO

Authors Bong-Gyu Jang, Seyoung Park, Huainan Zhao

Publication date 19 November 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://figshare.com/articles/journal_contribution/Optimal_retirement_with_borrowing_constraints_and_forced_unemployment_risk/12687878

zbMATH Keywords

borrowing constraintsdynamic programmingforced unemployment riskincomplete marketoptimal retirement

Mathematics Subject Classification ID

Dynamic programming (90C39) Labor markets (91B39) Actuarial mathematics (91G05)

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Cites work

• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• Lifetime consumption and investment: retirement and constrained borrowing
• MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal consumption and savings with stochastic income and recursive utility
• Optimum consumption and portfolio rules in a continuous-time model
• Standard Risk Aversion
• Unemployment risks and optimal retirement in an incomplete market
• Utility Maximization with Discretionary Stopping
• Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing

Cited in

(8)

• Time-inconsistent life-cycle consumption and retirement choice with mortality risk
• Unemployment risks and optimal retirement in an incomplete market
• Analytic approach for models of optimal retirement with disability risk
• The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement
• Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
• Human capital and portfolio choice: borrowing constraint and reversible retirement
• The effects of inflation risk on voluntary retirement and job switching by a martingale approach
• Lifetime consumption and investment: retirement and constrained borrowing

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