Optimal consumption and investment with insurer default risk

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 defa...

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Bibliographic Details
Main Authors: Bong-Gyu Jang, Hyeng Keun Koo, Seyoung Park
Format: Default Article
Published: 2019
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Optimal consumption,
Optimal investment
Insurer default risk
Annuity demand
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/37697
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