Related papers: Optimal annuitization post-retirement with labor i…
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
Can cost-reducing technical change lead to a fall in the long run rate of profit if class struggle manages to keep the rate of exploitation constant? In a general circulating capital model, we derive sufficient conditions for cost-reducing…
We consider the classical optimal dividends problem under the Cram\'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness…
In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…
In the stochastic knapsack problem, we are given a knapsack of size B, and a set of jobs whose sizes and rewards are drawn from a known probability distribution. However, we know the actual size and reward only when the job completes. How…
After the COVID-19 pandemic, we saw an increase in demand for epidemiological mathematical models. The goal of this work is to study the optimal control for an age-structured model as a strategy of quarantine of infected people, which is…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios…
We use a discrete-time proportional hazards model of time to involuntary employment termination. This model enables us to examine both the continuous effect of the age of an employee and whether that effect has varied over time,…
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution…
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition,…
We develop a regression based primal-dual martingale approach for solving finite time horizon MDPs with general state and action space. As a result, our method allows for the construction of tight upper and lower biased approximations of…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
Using CPS data for 1976 to 2022 we explore how wage inequality has evolved for married couples with both spouses working full time full year, and its impact on household income inequality. We also investigate how marriage sorting patterns…
We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on…