DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jang, B.-G. | - |
dc.contributor.author | Koo, H.K. | - |
dc.contributor.author | Park, S. | - |
dc.date.accessioned | 2019-12-03T12:51:24Z | - |
dc.date.available | 2019-12-03T12:51:24Z | - |
dc.date.created | 2019-07-02 | - |
dc.date.issued | 2019-09 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/100229 | - |
dc.description.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. (C) 2019 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER | - |
dc.relation.isPartOf | INSURANCE MATHEMATICS & ECONOMICS | - |
dc.title | Optimal consumption and investment with insurer default risk | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.insmatheco.2019.04.007 | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | INSURANCE MATHEMATICS & ECONOMICS, v.88, pp.44 - 56 | - |
dc.identifier.wosid | 000487767100005 | - |
dc.citation.endPage | 56 | - |
dc.citation.startPage | 44 | - |
dc.citation.title | INSURANCE MATHEMATICS & ECONOMICS | - |
dc.citation.volume | 88 | - |
dc.contributor.affiliatedAuthor | Jang, B.-G. | - |
dc.identifier.scopusid | 2-s2.0-85067173611 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Annuity demand | - |
dc.subject.keywordAuthor | Insurer default risk | - |
dc.subject.keywordAuthor | Optimal consumption | - |
dc.subject.keywordAuthor | Optimal investment | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
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