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Faculty of Actuarial Science and Insurance Seminar with Luca Regis

by Faculty Events

Conference

Wed, 16 May 2018

4:00 PM – 5:00 PM

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Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Description

"Pre- and post-retirement consumption/savings choices with longevity-linked securities"

In a complete financial market, we solve in closed form the problem of an agent who maximizes his intertemporal lifetime utility. The agent is subject to the so-called longevity risk, i.e. his force of mortality is stochastic. Her utility is additively separable on consumption and leisure while working. Consumer's preferences belong to the Hyperbolic Absolute Risk Aversion family, with a subsistence level of consumption. The individual optimally chooses labor supply, consumption and . We study these optimal choices when the agent has access to a market for longevity-linked securities and is possibly contributing to a personal pension scheme.
The paper is joint with F. Menoncin.



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Where

Cass Business School, 106 Bunhill Row
2005

106 Bunhill Row, London EC1Y 8TZ, UK

Speakers

Luca Regis

Department of Economics and Statistics

Hosted By

Faculty Events

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