Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
13461414 | Mathematical Social Sciences | 2020 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Seyoung Park,