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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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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
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Liquidity constraints and optimal annuitization
Park, Seyoung - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 125-142
Persistent link: https://www.econbiz.de/10013202395
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Verification theorems for models of optimal consumption and investment with annuitization
Park, Seyoung - In: Mathematical social sciences 103 (2020), pp. 36-44
Persistent link: https://www.econbiz.de/10012253672
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A generalization of Ramsey rule on discount rate with regime switching
Park, Seyoung - In: Economics letters 170 (2018), pp. 147-150
Persistent link: https://www.econbiz.de/10012019573
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Stochastic control
Bensoussan, Alain - 1985
Persistent link: https://www.econbiz.de/10000100695
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Quelques exemples d'application du contrôle stochastique et du contrôle impulsionnel dans les problèmes de gestion
Bensoussan, Alain - 1979
Persistent link: https://www.econbiz.de/10003409635
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On the discrete time capital asset pricing model
Bensoussan, Alain - 2009
Persistent link: https://www.econbiz.de/10003826995
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Real options
Bensoussan, Alain - 2009
Persistent link: https://www.econbiz.de/10003827030
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Quelques remarques sur le prix des options, avec prise en compte de contraintes
Bensoussan, Alain - In: Décision prospective auto-organisation : mélanges en …, (pp. 107-128). 2000
Persistent link: https://www.econbiz.de/10001530816