2 papers
q-fin.PM2023
Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
An Chen, Giorgio Ferrari, Shihao Zhu
This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework. A k…
math.OC2023
Optimal Retirement Choice under Age-dependent Force of Mortality
Giorgio Ferrari, Shihao Zhu
This paper examines optimal investment, consumption, and retirement timing under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic…