Unemployment Risks and Optimal Retirement in an Incomplete Market

• 成果类型: Article
• 署名作者: Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung
• 署名单位: University of Texas System; University of Texas Dallas; City University of Hong Kong; Pohang University of Science & Technology (POSTECH); National University of Singapore
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2016.1503
• 发表日期: 2016
• 页码: 1015-1032
• 关键词: OPTIMAL PORTFOLIO CHOICE; life-cycle; labor income; consumption; selection; strategy

摘要

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 an individual's optimal consumption and investment behaviors and optimal retirement time simultaneously. We introduce a new convex-duality approach for reformulating the original retirement problem and provide an iterative numerical method to solve it. Reasonably calibrated parameters say that our model can give an explanation for lower consumption and risky investment behaviors of individuals, and for relatively higher stock holdings of the poor. We also analyze the sensitivity of an individual's optimal behavior in changing her wealth level, investment opportunity, and the magnitude of preference for postretirement leisure. Finally, we find that our model explains a countercyclical pattern of the number of unemployed job leavers.