원문정보
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초록
영어
We advance a model of consumption, retirement, and asset allocation in an incomplete market in which an individual is subject to risk of involuntary permanent unemployment that reduces her income severely, and has borrowing constraints. We show that the interactions among consumption and portfolio choice can induce early retirement even when forced unemployment risks and borrowing constraints are considered jointly. We demonstrate that providing private unemployment insurance in an incomplete market is bene cial to poor people and for people with a low post-retirement leisure preference, and that the insurance can be privately priced and be sold by private insurance providers.
목차
Abstract
1 Introduction
2 The Basic Model
2.1 Financial Market and Unemployment Risks
2.2 The Retirement Problem
2.3 Private Unemployment Insurance
3 Analytical Results
3.1 Optimal Retirement Behavior
3.2 Optimal Consumption and Risky Investment Strategies
4 Numerical Implications
4.1 Baseline Parameters
4.2 Optimal Consumption and Portfolio Selection
4.3 Optimal Retirement Strategy
4.4 Certainty Equivalent Wealth Gain for Unemployment Risks
4.5 Unemployment Risks and Private Unemployment Insurance
5 Conclusion
6 Appendix
6.1 Proof of Lemma 3.1
6.2 Proof of Lemma 3.2
6.3 Proof of Lemma 3.3
6.4 Proof of Theorem 3.1
6.5 Proof of Theorem 3.2
6.6 The Details of Deriving the Value Function Ψ(x)
6.7 The Iterative Method
6.8 Various Properties of Convex-Dual Function G
References
1 Introduction
2 The Basic Model
2.1 Financial Market and Unemployment Risks
2.2 The Retirement Problem
2.3 Private Unemployment Insurance
3 Analytical Results
3.1 Optimal Retirement Behavior
3.2 Optimal Consumption and Risky Investment Strategies
4 Numerical Implications
4.1 Baseline Parameters
4.2 Optimal Consumption and Portfolio Selection
4.3 Optimal Retirement Strategy
4.4 Certainty Equivalent Wealth Gain for Unemployment Risks
4.5 Unemployment Risks and Private Unemployment Insurance
5 Conclusion
6 Appendix
6.1 Proof of Lemma 3.1
6.2 Proof of Lemma 3.2
6.3 Proof of Lemma 3.3
6.4 Proof of Theorem 3.1
6.5 Proof of Theorem 3.2
6.6 The Details of Deriving the Value Function Ψ(x)
6.7 The Iterative Method
6.8 Various Properties of Convex-Dual Function G
References
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