Earticle

초록

영어

In this paper, we consider an optimal consumption and investment problem for a partially annuitized individual in the presence of the default risk of insurance company. We veri¯ed the relationships between individual's optimal consumption and investment behaviors and the default risk of insurance company. Numerical results tell us that the existence of the default risk can give a signi¯cant e®ect on the optimal behaviors of such individual. Furthermore, using the numerical results we found that the individual who invests large portion of her wealth in annuities has a strong demand for selling or refunding her annuities when facing the default risk of insurance company, therefore we suggest an opinion for the annuity puzzle that individual's recognition of the default risk of insurance company may interrupt the growth of annuity markets.

목차

ABSTRACT
 1 Introduction
 2 The Basic Model
 3 A Stationary Model
 4 De¯nition of Terminologies
 5 Numerical Implications
  5.1 Benchmark Parameters
  5.2 Optimal consumption and investment
  5.3 Actuarially fair price, implicit value, and the annuity puzzle
  5.4 The Default risk premium
 6 Conclusion
 Appendix
 References

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Pohang, Korea ] Corresponding Author.
• Hyeng Keun Koo [ School of Business Administration, Ajou University, Suwon, Korea. ]
• Ho-Seok Lee [ Woori Investment & Securities, Seoul, Korea ]

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330