OCI_IDR_IME_Revision_Final.pdf (1.24 MB)
Download file

Optimal consumption and investment with insurer default risk

Download (1.24 MB)
journal contribution
posted on 03.05.2019, 11:14 by Bong-Gyu Jang, Hyeng Keun Koo, Seyoung Park
We solve the optimal consumption and investment problem in an incomplete market, where borrowing constraints and insurer default risk are considered jointly. We derive in closed-form the optimal consumption and investment strategies. We find two main results by quantitative analysis. As insurer default risk increases, the proportion of wealth invested in stocks could increase when wealth is small, and decrease when wealth is large. As risk aversion increases, the voluntary annuity demand could increase when insurer default risk is low, and decrease when this risk is high.

History

School

  • Business and Economics

Department

  • Business

Published in

Insurance: Mathematics and Economics

Volume

88

Pages

44-56

Citation

JANG, B-G., KOO, H.K. and PARK, S., 2019. Optimal consumption and investment with insurer default risk. Insurance: Mathematics and Economics, 88, pp.44-56.

Publisher

© Elsevier BV

Version

AM (Accepted Manuscript)

Publisher statement

This paper was accepted for publication in the journal Insurance: Mathematics and Economics and the definitive published version is available at https://doi.org/10.1016/j.insmatheco.2019.04.007

Acceptance date

17/04/2019

Publication date

2019-04-26

Copyright date

2019

ISSN

0167-6687

Language

en