Robust retirement and life insurance with inflation risk and model ambiguity

• Main Authors: Park, Kyunghyun, Wong, Hoi Ying, Yan, Tingjin
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2023
• Subjects: Science::Mathematics; Inflation and Stock Ambiguity; Retirement
• Online Access: https://hdl.handle.net/10356/172207
• Institution: Nanyang Technological University

We study a robust consumption-investment problem with retirement and life insurance decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming that an inflation-linked index bond and a stock are available in the market, this paper considers a comprehensive setup of am...