All Outputs (10)

Optimal reinsurance with a systemic surplus shock (2024)
Journal Article
Jung, K., & Park, S. (2024). Optimal reinsurance with a systemic surplus shock. Economics Letters, 244, Article 112013. https://doi.org/10.1016/j.econlet.2024.112013

We examine the optimal reinsurance and asset allocation strategies for an insurer who minimizes the ruin probability and faces a systemic surplus shock. Analytically tractable solutions are obtained when this shock occurs at an uncertain time. We the... Read More about Optimal reinsurance with a systemic surplus shock.

Income Disaster Model with Optimal Consumption (2024)
Journal Article
Park, S. (in press). Income Disaster Model with Optimal Consumption. Economic Theory,

We propose a continuous-time income disaster model with optimal consumption. We endogenously determine the stochastic discount factor (SDF) in an incomplete market caused by income disaster. We then derive optimal consumption decisions for two types... Read More about Income Disaster Model with Optimal Consumption.

Optimal Consumption and Investment with Independent Stochastic Labor Income (2024)
Journal Article
Bensoussan, A., & Park, S. (2024). Optimal Consumption and Investment with Independent Stochastic Labor Income. Mathematics of Operations Research, https://doi.org/10.1287/moor.2023.0119

We develop a new dynamic continuous-time model of optimal consumption and investment to include independent stochastic labor income. We reduce the problem of solving the Bellman equation to a problem of solving an integral equation. We then explicitl... Read More about Optimal Consumption and Investment with Independent Stochastic Labor Income.

Analytic approach for models of optimal retirement with disability risk (2023)
Journal Article
Chae, J., Jang, B., & Park, S. (2023). Analytic approach for models of optimal retirement with disability risk. Mathematical Social Sciences, 126, 68-75. https://doi.org/10.1016/j.mathsocsci.2023.09.007

Models of optimal retirement should reflect market incompleteness in reality caused by disability risk. In this paper, we develop an analytic approach for optimal retirement models with disability risk. More precisely, we provide an... Read More about Analytic approach for models of optimal retirement with disability risk.

Ambiguity premium and transaction costs (2021)
Journal Article
Jang, B., Kim, T., Lee, S., & Park, S. (2021). Ambiguity premium and transaction costs. Economics Letters, 207, Article 110007. https://doi.org/10.1016/j.econlet.2021.110007

We generalize the optimal investment model of an ambiguity averse investor with transaction costs. Along the lines of Maenhout (2004), we first show that ambiguity (or model uncertainty) leads to an increase in effective risk aversion by ambiguity av... Read More about Ambiguity premium and transaction costs.

Annuitization and asset allocation with borrowing constraint (2020)
Journal Article
Kim, J. G., Jang, B.-G., & Park, S. (2020). Annuitization and asset allocation with borrowing constraint. Operations Research Letters, 48(5), 549-551. https://doi.org/10.1016/j.orl.2020.06.007

We generalize the result of Yaari (1965) on annuitization with borrowing constraint. We show that inability to borrow against future labor income has a significant influence on an individual's consumption and asset allocation strategies. We also show... Read More about Annuitization and asset allocation with borrowing constraint.

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk (2020)
Journal Article
Jang, B.-G., Park, S., & Zhao, H. (2020). Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk. Insurance: Mathematics and Economics, 94, 25-39. https://doi.org/10.1016/j.insmatheco.2020.06.002

In this paper, we study optimal retirement in a two-dimensional incomplete market caused by borrowing constraints and forced unemployment risk. We show that the two aspects jointly affect an individual’s optimal consumption, investment, and retiremen... Read More about Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk.

Industry portfolio allocation with asymmetric correlations (2020)
Journal Article
Kim, M. H., Park, S., & Yoon, J. M. (2021). Industry portfolio allocation with asymmetric correlations. European Journal of Finance, 27(1-2), 178-198. https://doi.org/10.1080/1351847x.2020.1740287

We develop a new framework of optimal consumption and portfolio choice at industry portfolio level under dynamic and asymmetric correlations between industry and market portfolios. We derive in closed-form the optimal consumption and investment strat... Read More about Industry portfolio allocation with asymmetric correlations.

Optimal consumption and investment with insurer default risk (2019)
Journal Article
Jang, B.-G., Keun, H., & Park, S. (2019). Optimal consumption and investment with insurer default risk. Insurance: Mathematics and Economics, 88, 44-56. https://doi.org/10.1016/j.insmatheco.2019.04.007

We solve the optimal consumption and investment problem in an incomplete market, where borrowing constraints and insurer default risk are considered jointly. We derive in closed-form the optimal consumption and investment strategies. We find two main... Read More about Optimal consumption and investment with insurer default risk.

Unemployment Risks and Optimal Retirement in an Incomplete Market (2016)
Journal Article
Park, S., Bensoussan, A., & Jang, B.-G. (2016). Unemployment Risks and Optimal Retirement in an Incomplete Market. Operations Research, 64(4), 1015-1032. https://doi.org/10.1287/opre.2016.1503

We develop a new approach for solving the optimal retirement problem for an individual with an unhedgeable income risk. The income risk stems from a forced unemployment event, which occurs as an exponentially-distributed random shock. The optimal ret... Read More about Unemployment Risks and Optimal Retirement in an Incomplete Market.