Verification theorems for models of optimal consumption and investment with annuitization
Mathematical Social Sciences, 2020, vol. 103, issue C, 36-44
One can find it challenging to deal with verification theorems for optimal consumption and investment problems with annuitization. I pose a tractable framework to prove verification theorems for the problems. I revisit an annuitization model of Park (2015) and prove the verification theorem for the model. A key idea of the proof is the application of the variational inequality approach of Bensoussan and Lions (1982) to the annuitization problem solved by the suggested value function. Further, I obtain analytic comparative statics for the optimal consumption and investment strategies with annuitization.
Keywords: Annuitization; Existence; Uniqueness; Variational inequality (search for similar items in EconPapers)
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