Robust retirement and life insurance with inflation risk and model ambiguity

• Main Authors: Park, Kyunghyun, Wong, Hoi Ying, Yan, Tingjin
• 其他作者: School of Physical and Mathematical Sciences
• 格式: Article
• 語言: English
• 出版: 2023
• 主題: Science::Mathematics; Inflation and Stock Ambiguity; Retirement
• 在線閱讀: https://hdl.handle.net/10356/172207
• 機構: 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...