Sensitivity of Optimal Retirement Problem to Liquidity Constraints

Optimal Retirement Time and Consumption with the Variation in Habitual Persistence

In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habitual level and is more reluctant to change the habitual level after retirement, we assume that both the level and the sensitivity of the habitual consumption decline at the time of retirement. We establish the concise form of the habitual evolutions, and obtain the optimal retirement time and consumption policy based on martingale and duality methods. The optimal consumption experiences a sharp decline at retirement,…

年龄相关死亡力下的最优退休选择

Optimal Retirement Choice under Age-dependent Force of Mortality

本文研究年龄相关死亡力下的最优投资、消费与退休时机，通过转化为对偶最优停止问题，证明最优退休边界存在并数值求解，揭示财富、年龄、劳动收入与死亡力对退休决策的影响。

Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693

Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is exposed to the longevity risk -- induces greater lifetime utility. However, tontines do not have to be designed using a winner-take-all approach and insurance companies do not actually sell fair life annuities, partially due to aggregate longevity risk. In this paper we derive the…