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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/37697

Title: Optimal consumption and investment with insurer default risk
Authors: Jang, Bong-Gyu
Koo, Hyeng Keun
Park, Seyoung
Keywords: Optimal consumption,
Optimal investment
Insurer default risk
Annuity demand
Issue Date: 2019
Publisher: Elsevier BV
Citation: JANG, B-G., KOO, H.K. and PARK, S., 2019. Optimal consumption and investment with insurer default risk. Insurance: Mathematics and Economics, Doi: 10.1016/j.insmatheco.2019.04.007
Abstract: 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.
Description: This paper is in closed access until 26th Oct 2020.
Version: Accepted for publication
DOI: 10.1016/j.insmatheco.2019.04.007
URI: https://dspace.lboro.ac.uk/2134/37697
Publisher Link: https://doi.org/10.1016/j.insmatheco.2019.04.007
ISSN: 0167-6687
Appears in Collections:Closed Access (Business)

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