Analytic approach for models of optimal retirement with disability risk

Jiwon Chae, Bong-Gyu Jang and Seyoung Park

Mathematical Social Sciences, 2023, vol. 126, issue C, 68-75

Abstract: Models of optimal retirement should reflect market incompleteness in reality caused by disability risk. In this paper, we develop an analytic approach for optimal retirement models with disability risk. More precisely, we provide an analytically tractable characterization of total wealth that is the sum of financial wealth and the present value of future income. We then provide analytic properties of the retirement wealth threshold. Finally, we derive the analytical optimal consumption and portfolio choice with retirement and disability risk.

Keywords: Retirement; Disability risk; Total wealth; Optimal consumption and portfolio (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matsoc:v:126:y:2023:i:c:p:68-75

DOI: 10.1016/j.mathsocsci.2023.09.007

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