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Technical Appendix to Efficient Timing of Retirement

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Author Info
Geoffrey H. Kingston () (School of Economics, University of New South Wales)

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Abstract

Post-retirement, the model in the main text (published in the Review of Economic Dynamics) reduces to the Merton (1969) problem, which has of course an exact solution. Pre-retirement, however, the agent holds an American option, namely, retire now or keep working. Problems involving American options are generally difficult to solve exactly. This appendix describes an approximate solution to the agent's pre-retirement problem.

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Publisher Info
Paper provided by Review of Economic Dynamics in its series Technical Appendices with number kingston00.

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Length: 8 pages
Date of creation: Apr 2001
Date of revision:
Handle: RePEc:red:append:kingston00

Note: The original article was published in the Review of Economic Dynamics, volume (2000), pages 831-840
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Related research
Keywords: retirement; life cycle model; optimal stopping problem;

Other versions of this item:

Find related papers by JEL classification:
E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

References listed on IDEAS
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  1. Barry Nalebuff & Richard J. Zeckhauser, 1984. "Pensions and the Retirement Decision," NBER Working Papers 1285, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. B. Douglas Bernheim & Jonathan Skinner & Steven Weinberg, 1997. "What Accounts for the Variation in Retirement Wealth Among U.S. Households?," NBER Working Papers 6227, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Andrew A. Samwick, 1998. "New Evidence on Pensions, Social Security, and the Timing of Retirement," NBER Working Papers 6534, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Stock, J.H. & Wise, D.A., 1988. "Pensions, The Option Value Of Work, And Retirement," Papers e-88-28, Stanford - Hoover Institution.
    Other versions:
  5. John B. Burbidge & A. Leslie Robb, 1980. "Pensions and Retirement Behaviour," Canadian Journal of Economics, Canadian Economics Association, vol. 13(3), pages 421-37, August. [Downloadable!] (restricted)
  6. Gary S. Fields & Olivia S. Mitchell, 1984. "Retirement, Pensions, and Social Security," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262060914, January.
  7. Mitchell, Olivia S & Fields, Gary S, 1984. "The Economics of Retirement Behavior," Journal of Labor Economics, University of Chicago Press, vol. 2(1), pages 84-105, January. [Downloadable!] (restricted)
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  8. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449. [Downloadable!] (restricted)
    Other versions:
  9. Courtney Coile & Jonathan Gruber, 2000. "Social Security and Retirement," NBER Working Papers 7830, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
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  11. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August. [Downloadable!] (restricted)
  12. Lazear, Edward P, 1979. "Why Is There Mandatory Retirement?," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1261-84, December. [Downloadable!] (restricted)
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Cited by:
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  1. repec:ese:iserwp: is not listed on IDEAS
  2. David Haardt, 2007. "Transitions Out Of and Back To Employment among Older Men and Women in the UK," Social and Economic Dimensions of an Aging Population Research Papers 197, McMaster University. [Downloadable!]
  3. Luca Deidda & Fabio Cerina, 2002. "Do we need more time for leisure?," Working Paper CRENoS 200203, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  4. Kingston, Geoffrey, 2004. "Superannuation: A Guide to the Field for Australian Economists," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 34(2), pages 203-26, September. [Downloadable!]
  5. David Dorn & Alfonso Sousa-Poza, 2005. "Early Retirement: Free Choice or Forced Decision," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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