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Unemployment risks and optimal retirement in an incomplete market
Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung - In: Operations research 64 (2016) 4, pp. 1015-1032
Persistent link: https://www.econbiz.de/10011538586
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On the pricing of contingent claims with frictions
Bensoussan, Alain; Julien, H. - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 89-108
Persistent link: https://www.econbiz.de/10002177180
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Atainable claims in a Markov market
Bensoussan, Alain - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 121-131
Persistent link: https://www.econbiz.de/10001185056
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Unemployment Risks and Optimal Retirement in an Incomplete Market
Bensoussan, Alain - 2016
We develop a new approach for solving the optimal retirement problem for an individual with an unhedgeable income risk. The income risk stems from a forced unemployment event, which occurs as an exponentially-distributed random shock. The optimal retirement problem is to determine the...
Persistent link: https://www.econbiz.de/10013007724